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A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed.

Capital market --- Convergence. --- Stochastic processes. --- Mathematical models. --- AA / International- internationaal --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Convergence --- Stochastic processes --- Random processes --- Probabilities --- Functions --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Public finance. --- Finance. --- Economics, Mathematical . --- Public Economics. --- Finance, general. --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Funding --- Funds --- Currency question --- Cameralistics --- Public finance --- Public finances --- Methodology

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Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve­ nience, the continuous-time paradigm has become the standard tool of anal­ ysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors' expecta­ tions were thought not to matter, continuous-time finance has for a long time almost entirely neglected investors' beliefs. More recently, the development of martingale pricing techniques, in which expectations playa dominant role, and the blurring boundary between those methods and the original methods of continuous-time finance based on the Ito calculus, have allowed expecta­ tions to regain their central role in finance. The habilitation thesis of Professor Alexandre Ziegler is entirely devoted to the role of expectations in continuous-time finance. After a brief review of the literature, the author analyzes the consequences of incomplete informa­ tion and heterogeneous beliefs for optimal portfolio and consumption choice and equilibrium asset pricing. Relaxing the assumption that investors can ob­ serve expected dividend growth perfectly, the author shows that incomplete information affects stock prices and their dynamics, thus providing a potential explanation for the asset price bubble of the late 1990s. He also demonstrates how the presence of heterogeneous beliefs among investors affects their opti­ mal portfolios and their optimal consumption patterns.

Options (Finance) --- Options (Finances) --- Prices --- Mathematical models. --- Prix --- Modèles mathématiques --- AA / International- internationaal --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Modèles mathématiques --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Prices&delete& --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Derivative securities --- Investments --- Finance. --- Economics, Mathematical . --- Finance, general. --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Funding --- Funds --- Currency question --- Methodology

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Foreign exchange --- Financial engineering --- Mathematical models. --- -Financial engineering --- 305.92 --- 332.450151 --- Econometrie van de internationale handel. Handelsbalans, betalingsbalans. Wissel. --- Probability theory --- Private finance --- International finance --- Quantitative methods (economics) --- Change --- Mathematical models --- Modèles mathématiques --- 305.91 --- 333.451.0 --- AA / International- internationaal --- Computational finance --- Engineering, Financial --- Finance --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Econometrie van de internationale handel. Handelsbalans, betalingsbalans. Wissel --- Wisselmarkt: algemeenheden --- Foreign exchange - Mathematical models. --- Financial engineering - Mathematical models.

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Money market. Capital market --- Stochastic processes --- Actuarial mathematics --- Capital structure --- Derivative securities --- Lévy processes --- Instruments dérivés (Finances) --- Lévy, Processus de --- Prices --- Mathematical models. --- Prix --- Modèles mathématiques --- Mathematical models --- 305.91 --- 333.605 --- AA / International- internationaal --- 519.246 --- 336.76 --- -Levy processes --- -Lévy processes --- 332.6457 --- Random walks (Mathematics) --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Nieuwe financiële instrumenten. --- Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- -Mathematical models --- Lévy processes. --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- Lévy processes --- Instruments dérivés (Finances) --- Lévy, Processus de --- Modèles mathématiques --- Prices&delete& --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Nieuwe financiële instrumenten --- Derivative securities - Prices - Mathematical models

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The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.Offe

336.76 --- 658.15 --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Private financial management. Financial administration of enterprises --- 658.15 Private financial management. Financial administration of enterprises --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Modèle de fixation du prix des actifs --- Asset pricing --- -Asset pricing --- Modèle de fixation du prix des actifs --- Capital assets pricing model --- Corporations --- Economics --- Finance --- 332 --- 305.91 --- 333.605 --- 339.4 --- 658.40 --- AA / International- internationaal --- NBB multivolumes --- Economic theory --- Political economy --- Social sciences --- Economic man --- Funding --- Funds --- Currency question --- Business finance --- Capitalization (Finance) --- Corporate finance --- Corporate financial management --- Corporation finance --- Financial analysis of corporations --- Financial management, Corporate --- Financial management of corporations --- Financial planning of corporations --- Managerial finance --- Going public (Securities) --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Investments --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Nieuwe financiële instrumenten --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's --- Financieel beheer van de bedrijven: algemeenheden --- Mathematical models --- Capital assets pricing model. --- Economics. --- Finance. --- Finances --- Economie politique --- Sociétés --- ELSEVIER-B EPUB-LIV-FT --- Corporations - Finance