Author | Prigent, Jean-Luc. author |
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Title | Weak Convergence of Financial Markets [electronic resource] / by Jean-Luc Prigent |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003 |
Connect to | http://dx.doi.org/10.1007/978-3-540-24831-6 |
Descript | XIV, 424 p. online resource |
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