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 contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed.

Finance
Hedging
Martingale
Semimartingale
Stochastic calculus
Stochastic processes
optimization
stochastic process
quantitative finance

• Front Matter
• Weak Convergence of Stochastic Processes
• Weak Convergence of Financial Markets
• The Basic Models of Approximations
• Back Matter

THEMA, University of Cergy, Cergy, France
Jean-Luc Prigent

Book Title
Weak Convergence of Financial Markets

Authors
Jean-Luc Prigent

DOI
https://doi.org/10.1007/978-3-540-24831-6

Hardcover ISBN
978-3-540-42333-1
Published: 19 May 2003

Softcover ISBN
978-3-642-07611-4
Published: 21 October 2010

eBook ISBN
978-3-540-24831-6
Published: 14 March 2013

Series ISSN
1616-0533

Series E-ISSN
2195-0687

Edition Number
1

Number of Pages
XIV, 424

Topics
Public Economics, Finance, general, Quantitative Finance