Point Processes and Jump Diffusions

Name: Point Processes and Jump Diffusions
Brand: Cambridge University Press
SKU: 9781316518670
Price: 6296.0 INR
Availability: InStock

by Tomas Bjork

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ISBN13: 9781316518670
Binding: Hardcover
Subject: N/A
Publisher: Cambridge University Press
Publisher Imprint: Cambridge University Press
Publication Date: June 17, 2021
Pages: 320
Original Price: GBP 49.0
Language: English
Edition: N/A
Item Weight: 681 grams
BISAC Subject(s): Applied

About The Book

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.

About The Author

Björk, Tomas: - Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Björk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.

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