Mathematics of the bond market: a lévy processes approach
Auteur :
Barski, Michał / Zabczyk, Jerzy
Éditeur :
Cambridge University Press
ISBN :
9781107101296
Date de publication :
23 avr. 2020
Dimensions :
24,1 x 16,0 x 2,5 cm
Poids :
710 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This book concerns stochastic models of the bond market in which randomness is generated by Lévy 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.