Point Processes and Jump Diffusions: An Introduction with Finance Applications

The book provides an intuitive picture of marked point processes, presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. It is a valuable resource for PhD students and graduate students in mathematics, finance, and economics.

Format: Hardback
Length: 320 pages
Publication date: 17 June 2021
Publisher: Cambridge University Press

The theory of marked point processes on the real line has gained immense importance in various fields such as insurance mathematics, queuing theory, and financial economics. Despite its significance, the theory is often perceived as technically challenging and daunting, making it a hurdle for PhD students seeking to enter this domain. This book aims to provide a comprehensive and intuitive understanding of the central concepts and profound results while presenting the mathematical theory in a rigorous manner. It also discusses applications in filtering theory and financial economics, enabling readers to grasp the theory's intricacies and apply them effectively.

To facilitate a deep comprehension of the material, the book includes a range of exercises of varying difficulty levels. These exercises offer valuable opportunities for readers to put their new ideas into practice and reinforce their understanding of the theory. Graduate students in mathematics, finance, and economics will find this book invaluable as it will equip them with a solid working knowledge of point-process theory, paving the way for independent research endeavors.

In conclusion, this book is a valuable resource for anyone interested in gaining a deeper understanding of marked point processes and their applications in mathematics, finance, and economics. It offers a comprehensive and accessible approach, making it suitable for both novice and advanced students alike.

Weight: 694g
Dimension: 176 x 250 x 26 (mm)
ISBN-13: 9781316518670