I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] on option
pricing. The key idea—attributed to R. Merton in a footnote of the Black-Scholes paper—is …

A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by
arbitrage. Appropriate payoff homogeneity and measurability conditions are identified which …

This work is aimed at an audience with a sound mathematical background wishing to learn
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …

Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff
between profit and risk. We describe in detail the interplay between objective and …

Classical theories of financial markets assume an infinitely liquid market and that all traders
act as price takers. This theory is a good approximation for highly liquid stocks, although …

Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk
measures in risk management. Compared to VaR, CVaR is attractive since it is a coherent …