5 Stochastic Differential Equations Page 1 5 Stochastic Differential Equations 5.1 Examples
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …

The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on
applications to mathematical finance. I found it natural to include this material as another …

We are concerned with different properties of backward stochastic differential equations and
their applications to finance. These equations, first introduced by Pardoux and Peng (1990) …

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 …

We study the stochastic control problem of maximizing expected utility from terminal wealth
and/or consumption, when the portfolio is constrained to take values in a given closed …

The purpose of this chapter is to present an overview of recent results on stochastic control,
in particular, portfolio optimization, achieved via techniques of Malliavin calculus and …

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 …

Our objective is to identify the trading strategy that would allow an investor to take advantage
of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general …

In this paper, we present a comprehensive survey of continuous stochastic volatility models,
discussing their historical development and the key stylized facts that have driven the field …