Sinossi
Bridge between math and market reality for continuous-time finance
This work explains how elementary probability underpins the mathematical tools used in continuous-time models and the economic assumptions they reflect. It shows why continuous trading is an abstraction, when it can be a good approximation, and how market structure and time scales shape price dynamics and decision making. The book aims to connect theory with real‑world trading and pricing insights.
Readers will see how price changes can be modeled as a sequence of market structures, how martingales arise from unanticipated returns, and how Ito’s calculus provides practical methods for portfolio choice and option pricing. It covers diffusion processes, jump (Poisson) components, and how these elements combine into a flexible framework for analyzing prices and risks in securities markets.
- How continuous-time models relate to discrete trading and why the time scale matters
- Foundations like martingales, Ito’s Lemma, and the separation of diffusion and jump components
- Practical implications for intertemporal portfolios, pricing, and risk assessment
- Guidance on when normality assumptions are convenient and what they actually imply
Ideal for readers of financial economics and quantitative finance seeking a clear, mathematically grounded view of continuous-time models and their economic underpinnings.
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On the Mathematics and Economic Assumptions of Continuous-Time Models
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Paperback. Condizione: New. Print on Demand. This book explores the foundations of economic assumptions in continuous-time financial models. It delves into the mathematical and statistical properties of continuous-trading models, providing a rigorous framework for analyzing the dynamics of asset prices. The author carefully examines the implications of different assumptions about price changes, demonstrating how they impact the resulting models. By establishing a robust theoretical basis, this book enables readers to develop sophisticated financial models that accurately capture market behavior. Its insights are essential for practitioners seeking to understand the complexities of continuous-time finance and for researchers interested in advancing the field. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Codice articolo 9781333775865_0
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On the Mathematics and Economic Assumptions of ContinuousTime Models Classic Reprint
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PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo LW-9781333775865
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On the Mathematics and Economic Assumptions of ContinuousTime Models Classic Reprint
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PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo LW-9781333775865
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