Discrete-Time Approximations and Limit Theorems: In Applications to Financial Markets / Edition 1

by Yuliya Mishura, Kostiantyn Ralchenko

Overview

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.

Product Details

ISBN-13:	9783110652796
Publisher:	De Gruyter
Publication date:	11/08/2021
Series:	De Gruyter Series in Probability and Stochastics , #2
Pages:	390
Product dimensions:	6.69(w) x 9.45(h) x (d)
Age Range:	18 Years

About the Author

Yuliya Mishura and Kostiantyn Ralchenko, Taras Shevchenko National University of Kyiv, Ukraine.

Yuliya Mishura and Kostiantyn Ralchenko, Taras Shevchenko National University of Kyiv, Ukraine.

Editorial 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

From the Publisher