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Record Nr. |
UNINA9910554262703321 |
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Autore |
Mishura I︠U︡lii︠a︡ S. |
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Titolo |
Discrete-time approximations and limit theorems : in applications to financial markets / / Yuliya Mishura, Kostiantyn Ralchenko |
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Pubbl/distr/stampa |
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Berlin, Germany : , : Walter de Gruyter GmbH, , [2022] |
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©2022 |
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ISBN |
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3-11-065299-4 |
3-11-065424-5 |
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Descrizione fisica |
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1 online resource (XVI, 374 p.) |
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Collana |
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De Gruyter series in probability and stochastics ; ; Volume 2 |
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Classificazione |
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Disciplina |
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Soggetti |
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Discrete-time systems |
Finance - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Frontmatter -- Introduction -- Contents -- Abbreviations and notations -- 1 Financial markets. From discrete to continuous time -- 2 Rate of convergence of asset and option prices -- 3 Limit theorems for markets with non-random time-varying coefficients -- 4 Convergence of stochastic integrals in application to financial markets -- A Essentials of calculus, probability, and stochastic processes -- Bibliography -- Index |
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Sommario/riassunto |
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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. |
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