Weak Convergence of Financial Markets
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on
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Springer-Verlag Berlin Heidelberg GmbH
Springer Finance Springer Finance is a new programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. I t aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
Credit Risk: Modelling, Valuation and Hedging T. R. Bielecki and M. Rutkowski ISBN 3-540-67593-0 (2001) Risk-Neutral Valuation: Pricing and Hedging of Finance Derivatives N. H. Bingham and R. Kiesel ISBN 1-85233-001-5 (1998) Credit Risk Valuation M.Ammann ISBN 3-540-67805-0 (2001) Visual Explorations in Finance with Self-Organizing Maps G. Deboeck and T. Kohonen (Editors) ISBN 3-540-76266-3 (1998) Mathematics of Financial Markets R. J. Elliott and P. E. Kopp ISBN 0-387-98533-0 (1999) Mathematical Finance - Bachelier Congress 2000 - Selected Papers from the First World Congress of the Bachelier Finance Society, held in Paris, June 29-July 1,2000 H. Geman, D. Madan, S. R. Pliska and T. Vorst (Editors) ISBN 3-540-67781-X (2001) Mathematical Models of Financial Derivatives Y.-K. Kwok ISBN 981-3083-25-5 (1998) Efficient Methods for Valuing Interest Rate Derivatives A. Pelsser ISBN 1-85233-304-9 (2000) Exponential Functionals of Brownian Motion and Related Processes M. Yor
ISBN 3-540-65943-9 (2001) Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance A. Ziegler ISBN 3-540-00344-4 (2003)
Jean-Lue Prigent
Weak Convergence of Financial Markets With 8 Figures and 1 Table
,
Springer
Professor Jean-Luc Prigent THEMA
University of Cergy Boulevard du Port 33 95011 Cergy France
Mathematics Subject Classification (2003): 91-02, 91B28, 93A3Q, 60-xx, 60G35, 62P05, 60BIO, 65CxX
ISBN 978-3-642-07611-4
ISBN 978-3-540-24831-6 (eBook)
DOI 10.1007/978-3-540-24831-6
Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data available in the internet at http.!ldnb.ddb.de This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer- Verlag. Violations are liable for prosecution under the German Copyright Law. http://www.springer.de © Springer- Verlag Berlin Heidelberg 2003 Originally published by Springer-Verlag Berlin Heidelberg New York in 2003. Softcover reprint of the hardcover 1st edition 2003 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a s
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