Point Processes and Jump Diffusions: An Introduction with Finance Applications

Tomas Björk

doi:10.1017/9781009002127

Point Processes and Jump Diffusions

An Introduction with Finance Applications

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This Book has been cited by the following publications. This list is generated based on data provided by Crossref.

Gaspar, Raquel M. and Khapko, Mariana 2023. In memoriam: Tomas Björk (1947–2021). Finance and Stochastics, Vol. 27, Issue. 4, p. 867.

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Londoño, Jaime A and Søe, Julie Bjørner 2024. State Dependence by Risk-Adjusted Utility. SSRN Electronic Journal,

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Yang, Xu Chen, Qing and Zhao, Weidong 2025. A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis. Numerical Algorithms,

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Tomas Björk, Stockholm School of Economics

Publisher:: Cambridge University Press
Online publication date:: May 2021
Print publication year:: 2021
Online ISBN:: 9781009002127
DOI:: https://doi.org/10.1017/9781009002127

Subjects:: Economics, Mathematics, Mathematical Finance, Finance and Accountancy

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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.

‘essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.’

Ying Hui Dong Source: MathSciNet

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Point Processes and Jump Diffusions

An Introduction with Finance Applications

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