{"product_id":"mathematics-of-the-bond-market-a-levy-processes-approach-hardback-9781107101296","title":"Mathematics of the Bond Market; A Lévy Processes Approach (Hardback) 9781107101296","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eMathematics of the Bond Market\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eA Lévy Processes Approach\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cem\u003eAnalyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eMicha? Barski (Author), Jerzy Zabczyk (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781107101296, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 23 April 2020\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e398 pages\u003cbr\u003e24.1 x 16 x 2.6 cm, 0.71 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eMathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by Lévy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eIntroduction\u003cbr\u003e Part I. Bond Market in Discrete Time: 1. Elements of the bond market\u003cbr\u003e 2. Arbitrage-free bond markets\u003cbr\u003e 3. Completeness\u003cbr\u003e Part II. Fundamentals of Stochastic Analysis: 4. Stochastic preliminaries\u003cbr\u003e 5. Lévy processes\u003cbr\u003e 6. Martingale representation and Girsanov's theorems\u003cbr\u003e Part III. Bond Market in Continuous Tme: 7. Fundamentals\u003cbr\u003e 8. Arbitrage-free HJM markets\u003cbr\u003e 9. Arbitrage-free factor forward curves models\u003cbr\u003e 10. Arbitrage-free affine term structure\u003cbr\u003e 11. Completeness\u003cbr\u003e Part IV. Stochastic Equations in the Bond Market: 12. Stochastic equations for forward rates\u003cbr\u003e 13. Analysis of the HJMM equation\u003cbr\u003e 14. Analysis of Morton's equation\u003cbr\u003e 15. Analysis of the Morton–Musiela equation\u003cbr\u003e Appendix A. Martingale representation for jump Lévy processes\u003cbr\u003e Appendix B. Semigroups and generators\u003cbr\u003e Appendix C. General evolution equations\u003cbr\u003e References\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Probability \u0026amp; statistics [\u003ca title=\"See our other books on Probability \u0026amp; statistics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Probability%20\u0026amp;%20statistics%20%5BPBT%5D%22\"\u003ePBT\u003c\/a\u003e], Finance [\u003ca title=\"See our other books on Finance\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20%5BKFF%5D%22\"\u003eKFF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Default Title","offer_id":46004781252888,"sku":"9781107101296","price":103.29,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/products\/9781107101296i_f8926928-2875-4526-a295-2a1a852ba48e.jpg?v=1696793184","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/mathematics-of-the-bond-market-a-levy-processes-approach-hardback-9781107101296","provider":"Freshly Printed Books","version":"1.0","type":"link"}