Discrete-time approximations and limit theorems : in applications to financial markets / Yuliya Mishura, Kostiantyn Ralchenko.

Format:

Book

Author/Creator:

Mishura, I︠U︡lii︠a︡ S., author.

Ralchenko, Kostiantyn, author.

Series:

De Gruyter series in probability and stochastics ; Volume 2.

De Gruyter series in probability and stochastics ; Volume 2

Language:

English

Subjects (All):

Discrete-time systems.

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (XVI, 374 p.)

Place of Publication:

Berlin, Germany : Walter de Gruyter GmbH, [2022]

Language Note:

In English.

Summary:

Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.

Contents:

Frontmatter

Introduction

Contents

Abbreviations and notations

1 Financial markets. From discrete to continuous time

2 Rate of convergence of asset and option prices

3 Limit theorems for markets with non-random time-varying coefficients

4 Convergence of stochastic integrals in application to financial markets

A Essentials of calculus, probability, and stochastic processes

Bibliography

Index

Notes:

Description based on print version record.

Includes bibliographical references and index.

ISBN:

3-11-065299-4

3-11-065424-5

OCLC:

1280943233