Office of Academic Resources
Chulalongkorn University
Chulalongkorn University

Home / Help

AuthorPrigent, Jean-Luc. author
TitleWeak Convergence of Financial Markets [electronic resource] / by Jean-Luc Prigent
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003
Connect tohttp://dx.doi.org/10.1007/978-3-540-24831-6
Descript XIV, 424 p. online resource

SUMMARY

A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed


CONTENT

Weack Convergence of Stochastic Processes: Basic Properties of Stochastic Processes -- Weak Convergence -- Weak Convergence to a Semimartingale -- Weak Convergence of Stochastic Integrals -- Limit Theorems, Density Processes and Contiguity -- Weak Convergence of Financial Markets: Convergence of Optimal Consumption-Portfolio Strategies -- Convergence of Option Prices -- Convergence of Hedging Strategies -- The Basic Models of Approximations: General Remarks -- Lattice -- Alternative Approximations -- Approximations of Term Structure Models -- Index


Finance Economics Mathematical Public finance Economics Public Economics Finance general Quantitative Finance



Location



Office of Academic Resources, Chulalongkorn University, Phayathai Rd. Pathumwan Bangkok 10330 Thailand

Contact Us

Tel. 0-2218-2929,
0-2218-2927 (Library Service)
0-2218-2903 (Administrative Division)
Fax. 0-2215-3617, 0-2218-2907

Social Network

  line

facebook   instragram