Discrete-Time Approximations and Limit Theorems

In Applications to Financial Markets
Buch | Hardcover
XVI, 374 Seiten
2021
De Gruyter (Verlag)
978-3-11-065279-6 (ISBN)
169,95 inkl. MwSt
The De Gruyter Series in Probability and Stochastics is devoted to the publication of high-level monographs and specialized graduate texts in any branch of modern probability theory and stochastics, along with their numerous applications in other parts of mathematics, physics and informatics, in economics and finance, and in the life sciences. The aim of the series is to present recent research results in the form of authoritative and comprehensive works that will serve the probability and stochastics community as basis for further research. Editorial Board Itai Benjamini, Weizmann Institute of Science, IsraelJean Bertoin, Universität Zürich, SwitzerlandMichel Ledoux, Université de Toulouse, FranceRené L. Schilling, Technische Universität Dresden, Germany

Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine.

"This book is an in-depth study of the relationship between discrete-time ('real') market models and their continuous-time counterparts, which are widely used in quantitative finance analysis due to their mathematical simplicity. [...] In conclusion, "Discrete-Time Approximations and Limit Theorems" is a standout contribution to the study of option pricing and hedging problems for both discrete-time and continuous-time models. The book's thoroughness and rigor make it an indispensable reference for researchers and practitioners in the field of quantitative finance."

Prof. Dr. Elisa Alòs, Barcelona School of Economics, Spain, July 2023

Erscheinungsdatum
Reihe/Serie De Gruyter Series in Probability and Stochastics ; 2
Zusatzinfo 3 b/w and 1 col. ill.
Verlagsort Berlin/Boston
Sprache englisch
Maße 170 x 240 mm
Gewicht 789 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Schlagworte Black-Scholes-Modell • Grenzwertsatz • Kreditmarkt
ISBN-10 3-11-065279-X / 311065279X
ISBN-13 978-3-11-065279-6 / 9783110652796
Zustand Neuware
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