Discrete-Time Approximations and Limit Theorems
In Applications to Financial Markets
Kostiantyn Ralchenko, Yuliya Mishura
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Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
Beschreibung
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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<p><em>Prof. Dr. Elisa Alòs, Barcelona School of Economics, Spain, July 2023</em> </p>
<p>"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."
<p>"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."
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Schlagwörter
Kreditmarkt, Grenzwertsatz, Black-Scholes-Modell