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Point Processes and Jump Diffusions: An Introduction with Finance Applications

Autor Tomas Björk
en Limba Engleză Hardback – 16 iun 2021
The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.
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Specificații

ISBN-13: 9781316518670
ISBN-10: 1316518671
Pagini: 320
Dimensiuni: 174 x 250 x 21 mm
Greutate: 0.68 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom

Cuprins

Part I. Point Processes: 1. Counting processes; 2. Stochastic integrals and differentials; 3. More on Poisson processes; 4. Counting processes with stochastic intensities; 5. Martingale representations and Girsanov transformations; 6. Connections between stochastic differential equations and partial integro-differential equations; 7. Marked point processes; 8. The Itô formula; 9. Martingale representation, Girsanov and Kolmogorov; Part II. Optimal Control in Discrete Time: 10. Dynamic programming for Markov processes; Part III. Optimal Control in Continuous Time: 11. Continuous-time dynamic programming; Part IV. Non-Linear Filtering Theory: 12. Non-linear filtering with Wiener noise; 13. The conditional density; 14. Non-linear filtering with counting-process observations; 15. Filtering with k-variate counting-process observations; Part VI. Applications in Financial Economics: 16. Basic arbitrage theory; 17. Poisson-driven stock prices; 18. The simplest jump–diffusion model; 19. A general jump–diffusion model; 20. The Merton model; 21. Determining a unique Q; 22. Good-deal bounds; 23. Diversifiable risk; 24. Credit risk and Cox processes; 25. Interest-rate theory; 26. Equilibrium theory; References; Index of symbols; Subject index.

Recenzii

'essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.' Ying Hui Dong, MathSciNet

Notă biografică


Descriere

Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.