Weak Convergence of Financial Markets

Jean-Luc Prigent

422 pages, parution le 12/06/2003

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Résumé

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.

Weak 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

L'auteur - Jean-Luc Prigent

Docteur en mathématiques, en sciences économiques et en sciences de gestion, Jean-Luc Prigent est professeur en sciences économiques à l'université de Cergy-Pontoise et membre du laboratoire de recherche THEMA. Ses travaux portent principalement sur la finance de marché, en particulier la gestion de portefeuille.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Jean-Luc Prigent
Parution	12/06/2003
Nb. de pages	422
Format	16 x 24
Couverture	Relié
Poids	775g
Intérieur	Noir et Blanc
EAN13	9783540423331