Mathematics of the Bond Market A Lévy Processes Approach Barski Zabczyk Hardback
Mathematics of the Bond MarketA Lvy Processes Approach\nAuthor(s): Micha? Barski, Jerzy Zabczyk\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9781107101296, 978-1107101296\nSynopsis\nMathematical 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 Lvy 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 .
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