This book is an introduction to financial mathematics. It is intended for graduate students in
mathematics and for researchers working in academia and industry. The focus on stochastic …

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

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 …

A basic result in mathematical finance, sometimes called the fundamental theorem of asset
pricing (see Dybvig 1987 eg), is that for a stochastic process (S,), ER,, the existence of an …

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 …

Since the publication of the first edition of this book, the area of mathematical finance has
grown rapidly, with financial analysts using more sophisticated mathematical concepts, such …

Материал настоящего, второго тома, посвященного «Теории», также состоит из
четырех глав: Глава V. Теория арбитража в стохастических финансовых моделях …

The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review 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 …