Search

Showing total 2 results
2 results

1. Mathematics of the Bond Market: A Lévy Processes Approach: by Michał Barski and Jerzy Zabczyk, Cambridge University Press (2020). Hardback. ISBN 9781107101296.

Author

Grbac, Zorana and Horvath, Blanka

Subjects
LEVY processes, BOND market, YIELD curve (Finance), MATHEMATICS, RANDOM walks, LIBOR, ARBITRAGE
Abstract

The Lévy-driven affine short rate models follow and a chapter on the completeness of the presented Lévy term structure models concludes. In conclusion, the book by M. Barski and J. Zabczyk on modelling fixed income markets based on Lévy processes is a textbook that fills perfectly a gap in the existing mathematical finance literature. The applications of Lévy processes in mathematical finance go back to the seminal paper of Merton ([4]), entitled "Option pricing when underlying stock returns are discontinuous", which galvanized the research landscape on Lévy models with respect to financial applications. [Extracted from the article]

Published
2021
Full Text
View/download PDF

2. The Lagrangian, constraint qualifications and economics.

Author

Flåm, Sjur D. and Rückmann, Jan-J.

Subjects
MATHEMATICIANS, INTUITION, MATHEMATICS, THEORISTS, ARBITRAGE
Abstract

Considering constrained choice, practitioners and theorists frequently invoke a Lagrangian to generate optimality conditions. Regular use of that vehicle requires, however, some constraintqualification. Yet many economists go easy on the mathematics of that issue. Conversely, few mathematicians elaborate on the economics of the context. Thereby both parties leave some lacunas as to didactics or intuition. This note attempts to shed some light on these matters. [ABSTRACT FROM AUTHOR]

Published
2022
Full Text
View/download PDF