Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.
Yuliya Mishura and Kostiantyn Ralchenko, Taras Shevchenko National University of Kyiv, Ukraine.
"This book is an in-depth study of the relationship between discrete-time ('real') market models and their continuous-time counterparts, which are widely used in quantitative finance analysis due to their mathematical simplicity. [...] In conclusion, "Discrete-Time Approximations and Limit Theorems" is a standout contribution to the study of option pricing and hedging problems for both discrete-time and continuous-time models. The book's thoroughness and rigor make it an indispensable reference for researchers and practitioners in the field of quantitative finance."
Prof. Dr. Elisa Alòs, Barcelona School of Economics, Spain, July 2023
