Weak Convergence Of Financial Markets
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Weak Convergence Of Financial Markets
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Author : Jean-Luc Prigent
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Weak Convergence Of Financial Markets written by Jean-Luc Prigent and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Business & Economics categories.
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, which include 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. Includes detailed examples.
Discrete Time Approximations And Limit Theorems
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Author : Yuliya Mishura
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2021-10-25
Discrete Time Approximations And Limit Theorems written by Yuliya Mishura and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-25 with Mathematics categories.
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.
Weak Convergence Of Measures
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Author : Vladimir I. Bogachev
language : en
Publisher: American Mathematical Soc.
Release Date : 2018-09-27
Weak Convergence Of Measures written by Vladimir I. Bogachev and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-27 with Convergence categories.
This book provides a thorough exposition of the main concepts and results related to various types of convergence of measures arising in measure theory, probability theory, functional analysis, partial differential equations, mathematical physics, and other theoretical and applied fields. Particular attention is given to weak convergence of measures. The principal material is oriented toward a broad circle of readers dealing with convergence in distribution of random variables and weak convergence of measures. The book contains the necessary background from measure theory and functional analysis. Large complementary sections aimed at researchers present the most important recent achievements. More than 100 exercises (ranging from easy introductory exercises to rather difficult problems for experienced readers) are given with hints, solutions, or references. Historic and bibliographic comments are included. The target readership includes mathematicians and physicists whose research is related to probability theory, mathematical statistics, functional analysis, and mathematical physics.
Markov Decision Processes With Applications To Finance
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Author : Nicole Bäuerle
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-06
Markov Decision Processes With Applications To Finance written by Nicole Bäuerle and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-06 with Mathematics categories.
The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Ii
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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 2001-01-10
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Ii written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-10 with Business & Economics categories.
This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
A Benchmark Approach To Quantitative Finance
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Author : Eckhard Platen
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-10-28
A Benchmark Approach To Quantitative Finance written by Eckhard Platen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-28 with Business & Economics categories.
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Iii
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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 2002-01-18
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Iii written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-18 with Mathematics categories.
This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Mathematical Models Of Financial Derivatives
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Author : Yue-Kuen Kwok
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-07-10
Mathematical Models Of Financial Derivatives written by Yue-Kuen Kwok and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-10 with Mathematics categories.
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Mathematics Of Financial Markets
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Author : Robert J Elliott
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-10-04
Mathematics Of Financial Markets written by Robert J Elliott and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-04 with Mathematics categories.
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
Machine Learning And Data Sciences For Financial Markets
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Author : Agostino Capponi
language : en
Publisher: Cambridge University Press
Release Date : 2023-04-30
Machine Learning And Data Sciences For Financial Markets written by Agostino Capponi and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-30 with Mathematics categories.
Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.