Point Processes and Jump Diffusions: An Introduction with Finance Applications - Tapa dura

Björk, Tomas

 
9781316518670: Point Processes and Jump Diffusions: An Introduction with Finance Applications
Tapa dura
ISBN 10: 1316518671 ISBN 13: 9781316518670
Editorial: Cambridge University Press, 2021

Sinopsis

The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.

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Acerca del autor

Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Björk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.

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Editorial
Cambridge University Press
Año de publicación
2021
Idioma
Inglés
ISBN 10 
1316518671
ISBN 13 
9781316518670
Encuadernación
Tapa dura
Número de páginas
320
Contacto del fabricante
no disponible
Persona responsable
no disponible