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Mathematics of the Bond Market

- A Levy Processes Approach

Bag om Mathematics of the Bond Market

This book concerns stochastic models of the bond market in which randomness is generated by Levy processes. It presents key results on arbitrage and completeness of the bond markets using the tools of stochastic analysis and stochastic PDEs. It offers many attractive mathematical problems.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781107101296
  • Indbinding:
  • Hardback
  • Sideantal:
  • 398
  • Udgivet:
  • 23. April 2020
  • Størrelse:
  • 240x163x29 mm.
  • Vægt:
  • 728 g.
Leveringstid: 8-11 hverdage
Forventet levering: 4. Oktober 2024

Beskrivelse af Mathematics of the Bond Market

This book concerns stochastic models of the bond market in which randomness is generated by Levy processes. It presents key results on arbitrage and completeness of the bond markets using the tools of stochastic analysis and stochastic PDEs. It offers many attractive mathematical problems.

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