Mathematical Methods for Financial Markets

• Main Authors: Jeanblanc, Monique. (Author), Yor, Marc. (Author), Chesney, Marc. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: London : Springer London, 2009.
• Series: Springer Finance
• Subjects: Mathematics.; Finance.; Distribution (Probability theory).; Banks and banking.; Quantitative Finance.; Finance /Banking.; Probability Theory and Stochastic Processes.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-84628-737-4

Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which...

Table of Contents:

• Part I Continuous Path Processes
• 1. Continuous Path Random Processes: Mathematical Prerequisites
• 2. Basic Concepts and Examples in Finance
• 3. Hitting Times: A Mix of Mathematics and Finance
• 4. Complements on Brownian Motion
• 5. Complements on Continuous Path Processes
• 6. A Special Family of Diffusions: Bessel Processes
• Part II: Jump Processes
• 7. Default Risk: An Enlargement of Filtration Approach
• 8. Poisson Processes and Ruin Theory
• 9. General Processes: Mathematical Facts
• 10. Mixed Processes
• 11. Lv̌y Processes
• Appendices
• References
• Index.