In this text, the author discusses the main aspects of mathematical finance. These include,
arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or …

Full article: Martingales for physicists: a treatise on stochastic thermodynamics and beyond
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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 …

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 …

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 …

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 …

In this paper, we demonstrate that the funding value adjustments (FVAs) of major dealers
are debt overhang costs to their shareholders. To maximize shareholder value, dealer …