Point Processes and Jump Diffusions
an introduction with finance applications
$164.09
- Hardcover
320 pages
- Release Date
17 June 2021
Summary
Mastering Point Processes and Jump Diffusions: A Comprehensive Guide
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 res…
Book Details
| ISBN-13: | 9781316518670 |
|---|---|
| ISBN-10: | 1316518671 |
| Author: | Tomas Björk |
| Publisher: | Cambridge University Press |
| Imprint: | Cambridge University Press |
| Format: | Hardcover |
| Number of Pages: | 320 |
| Release Date: | 17 June 2021 |
| Weight: | 680g |
| Dimensions: | 250mm x 174mm x 21mm |
You Can Find This Book In
What They're Saying
Critics Review
‘essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.’ Ying Hui Dong, MathSciNet
‘essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.’ Ying Hui Dong, MathSciNet
About The Author
Tomas Björk
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.
Returns
This item is eligible for free returns within 30 days of delivery. See our returns policy for further details.