Point Processes and Jump Diffusions
Hardcover 350 pages English 19-Aug-21
(No reviews yet)
Write a Review
Write a Review
Cambridge University Press
Point Processes and Jump Diffusions
Millions of titlesEvery book you're looking for
Carbon-neutral shippingFree on orders over $39.99
Fast shipping worldwideDelivered to your door
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.
- Author:
- Tomas Björk
- Publisher:
- Cambridge University Press
- Publication Date:
- 19-Aug-21
- Number of pages:
- 350 pages
- Language:
- English
- Binding:
- Hardcover
- ISBN-10:
- 1316518671
- ISBN-13:
- 9781316518670