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  3. Mathematics of the Bond Market
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    • Publisher:
      Cambridge University Press
      Publication date:
      06 April 2020
      23 April 2020
      ISBN:
      9781316181836
      9781107101296
      DOI:
      https://doi.org/10.1017/9781316181836
      Dimensions:
      (234 x 156 mm)
      Weight & Pages:
      0.71kg, 398 Pages
      Dimensions:
      Weight & Pages:
      • Subjects:
      Mathematics (general), Mathematics, Mathematical Finance, Probability Theory and Stochastic Processes, Statistics and Probability
      Series:
      Encyclopedia of Mathematics and its Applications (174)
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    Subjects:
    Mathematics (general), Mathematics, Mathematical Finance, Probability Theory and Stochastic Processes, Statistics and Probability
    Series:
    Encyclopedia of Mathematics and its Applications (174)
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    Book description

    Mathematical 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.

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