03018nmm a2200385 u 4500001001200000003002700012005001700039007002400056008004100080020001800121100002300139245011800162250001700280260004000297300004200337505044500379653003700824653001200861653001900873653004800892653002100940653002100961653003200982653001601014653002501030700002401055700002801079710003401107041001901141989003601160490003101196856007201227082000801299520132501307EB000367294EBX0100000000000000022034600000000000000.0cr|||||||||||||||||||||130626 ||| eng a97818462873741 aJeanblanc, Monique00aMathematical Methods for Financial MarketshElektronische Ressourcecby Monique Jeanblanc, Marc Yor, Marc Chesney a1st ed. 2009 aLondonbSpringer Londonc2009, 2009 aXXVI, 732 p. 9 illusbonline resource0 aMathematical Prerequisites -- Basic Concepts and Examples in Finance -- Hitting Times: A Mix of Mathematics and Finance -- Complements on Brownian Motion -- Complements on Continuous Path Processes -- A Special Family of Diffusions: Bessel Processes -- Jump Processes -- Default Risk: An Enlargement of Filtration Approach -- Poisson Processes and Ruin Theory -- General Processes: Mathematical Facts -- Mixed Processes -- Lévy Processes aDistribution (Probability theory aFinance aPublic finance aProbability Theory and Stochastic Processes aPublic Economics aFinance, general aApplications of Mathematics aMathematics aQuantitative Finance1 aYor, Marce[author]1 aChesney, Marce[author]2 aSpringerLink (Online service)07aeng2ISO 639-2 bSpringeraSpringer eBooks 2005-0 aSpringer Finance Textbooks uhttps://doi.org/10.1007/978-1-84628-737-4?nosfx=yxVerlag3Volltext0 a336 aMathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochastic processes, stochastic calculus and differential equations, among others, which can be daunting for the beginning researcher. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice