By Jean-Luc Prigent
A entire assessment of susceptible convergence of stochastic approaches and its program to the examine of economic markets. cut up into 3 components, the 1st recollects the math of stochastic methods and stochastic calculus with targeted emphasis on contiguity homes and vulnerable convergence of stochastic integrals. the second one half is dedicated to the research of monetary conception from the convergence standpoint. the most difficulties corresponding to portfolio optimization, alternative pricing and hedging are tested, specifically while contemplating discrete-time approximations of continuous-time dynamics. The 3rd half offers with lattice- and tree-based computational systems for choice pricing either on shares and stochastic bonds. extra common discrete approximations also are brought and detailed.