This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

The main purpose of these lectures is to show that the Theory of Backward Stochastic
Differential Equations (BSDE) is a useful tool to study the problem of pricing contingent …

This book is designed as a text for graduate courses in stochastic processes. It is written for
readers familiar with measure-theoretic probability and discrete-time processes who wish to …

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 …

This article presents a simple yet powerful new approach for approximating the value of
American options by simulation. The key to this approach is the use of least squares to …

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 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 …

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 …

A general consumption/investment problem is considered for an agent whose actions
cannot affect the market prices, and who strives to maximize total expected discounted utility …