丸善のおすすめ度
Mathematics of the Bond Market:Lévy Processes Approach (Encyclopedia of Mathematics and its Applications, Vol. 174) '20
Barski, Michal,
Zabczyk, Jerzy
著
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在庫状況
海外在庫有り
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お届け予定日
1ヶ月
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価格
\38,173（税込）
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発行年月 |
2020年04月 |
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| 出版社／提供元 |
Cambridge University Press |
出版国 |
イギリス |
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言語 |
英語 |
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媒体 |
冊子 |
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装丁 |
hardcover |
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ページ数／巻数 |
394 p. |
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ジャンル |
洋書／理工学／数学／応用数学 |
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ISBN |
9781107101296 |
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商品コード |
1031179185 |
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本の性格 |
学術書 |
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新刊案内掲載月 |
2020年05月 |
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| 商品URL | https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=1031179185 |
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内容
Mathematical models of bond markets are of interest to researchers in mathematical finance. This book concerns bond market models in which random elements are represented by Levy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyse their completeness. Nonlinear stochastic partial differential equations (PDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems.
