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Discrete-Time Approximations and Limit Theorems
In Applications to Financial Markets
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Language:
English
Published/Copyright:
2021
About this book
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.
- An authoritative book on financial market modeling
- Studies the discrete approximation, the parameter dependence and the asymptotics of financial models
- Of interest to researchers and graduate students in mathematics as well in financial applications
Author / Editor information
Yuliya Mishura and Kostiantyn Ralchenko, Taras Shevchenko National University of Kyiv, Ukraine.
Reviews
"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
Topics
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Frontmatter
I -
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Introduction
V -
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Contents
IX -
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Abbreviations and notations
XV -
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1 Financial markets. From discrete to continuous time
1 -
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2 Rate of convergence of asset and option prices
109 -
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3 Limit theorems for markets with non-random time-varying coefficients
243 -
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4 Convergence of stochastic integrals in application to financial markets
279 -
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A Essentials of calculus, probability, and stochastic processes
319 -
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Bibliography
363 -
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Index
371
Publishing information
Pages and Images/Illustrations in book
eBook published on:
October 25, 2021
eBook ISBN:
9783110654240
Hardcover published on:
November 8, 2021
Hardcover ISBN:
9783110652796
Pages and Images/Illustrations in book
Front matter:
16
Main content:
374
Illustrations:
3
Coloured Illustrations:
1
Audience(s) for this book
Researchers and graduate students in probability theory, stochastics and financial mathematics.
Safety & product resources
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Manufacturer information:
Walter de Gruyter GmbH
Genthiner Straße 13
10785 Berlin
productsafety@degruyterbrill.com
