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 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 …

Mathematical finance has grown into a huge area of research which requires a lot of care
and a large number of sophisticated mathematical tools. The subject draws upon quite …

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …

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 …

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be
an important tool in the pricing and hedging of financial derivatives. Following the success of …

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 …

This paper gives an overview of results and developments in the area of pricing and
hedging contingent claims in an incomplete market by means of a quadratic criterion. We …

The book aims at presenting a detailed and mathematically rigorous exposition of the theory
and applications of a class of point processes and piecewise deterministic p-cesses. The …