Discrete-time approximations and limit theorems : in applications to financial markets / / Yuliya Mishura, Kostiantyn Ralchenko

• Autore: Mishura I︠U︡lii︠a︡ S.
• Pubblicazione: Berlin, Germany : , : Walter de Gruyter GmbH, , [2022]; ©2022
• Descrizione fisica: 1 online resource (XVI, 374 p.)
• Disciplina: 003
• Soggetto topico: Discrete-time systems; Finance - Mathematical models
• Classificazione: SK 980
• Persona (resp. second.): RalchenkoKostiantyn
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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
• Sommario/riassunto: 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.
• Titolo autorizzato: Discrete-Time Approximations and Limit Theorems
• ISBN: 3-11-065299-4; 3-11-065424-5
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910554262703321
• Lo trovi qui: Univ. Federico II
• Serie: De Gruyter series in probability and stochastics ; ; Volume 2.