Weak Convergence of Financial Markets

  • Jean-Luc┬áPrigent

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Jean-Luc Prigent
    Pages 1-127
  3. Jean-Luc Prigent
    Pages 129-265
  4. Jean-Luc Prigent
    Pages 267-399
  5. Back Matter
    Pages 401-422

About this book


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

Authors and affiliations

  • Jean-Luc┬áPrigent
    • 1
  1. 1.THEMAUniversity of CergyCergyFrance

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-07611-4
  • Online ISBN 978-3-540-24831-6
  • Series Print ISSN 1616-0533
  • Buy this book on publisher's site