Mathematics of the Bond Market: A Lévy Processes Approach

Barski, Michal/ Zabczyk, Jerzy

ISBN 10: 1107101298 / ISBN 13: 9781107101296

Editore: Cambridge Univ Pr, 2020

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382 pages. 9.25x6.25x1.00 inches. In Stock.

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Dati bibliografici

• Titolo: Mathematics of the Bond Market: A Lévy Processes Approach
• Editore: Cambridge Univ Pr
• Data di pubblicazione: 2020
• Lingua: Inglese
• ISBN 10: 1107101298
• ISBN 13: 9781107101296
• Rilegatura: Hardcover
• Condizione: Brand New

Descrizione articolo

Riassunto

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.

Informazioni sugli autori

Michał Barski is Professor of Mathematics at the University of Warsaw. His interests include mathematical finance, especially bond market and risk measures. In the years 2011–2016 he held the position of Junior-Professor in Stochastic Processes and their Applications in Finance at the University of Leipzig.

Jerzy Zabczyk is Professor Emeritus in the Institute of Mathematics at the Polish Academy of Sciences. His research interests include stochastic processes, evolution equations, control theory and mathematical finance. He published over ninety research papers. He is the author or co-author of seven books including Stochastic Equations in Infinite Dimensions (Cambridge, 1992, 2008, 2014), Stochastic Partial Differential Equations with Lévy Noise (Cambridge, 2007) and Mathematical Control Theory: An Introduction (1992, 1996, 2020).