Mathematics of the Bond Market: A Lévy Processes Approach (Encyclopedia of Mathematics and its Applications #174)
By: and
Sign Up Now!
Already a Member? Log In
You must be logged into Bookshare to access this title.
Learn about membership options,
or view our freely available titles.
- Synopsis
- Mathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by Lévy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems.
- Copyright:
- 2020
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781108882842
- Related ISBNs:
- 9781107101296, 9781107101296
- Publisher:
- Cambridge University Press
- Date of Addition:
- 04/23/20
- Copyrighted By:
- Michał Barski, Jerzy Zabczyk
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.