Lectures On Mathematical Finance And Related Topics

by Yuri Kifer

Overview

Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and stochastic analysis. This book is the first one which presents not only main results in the mathematical finance but also these 'related topics' with all proofs and in a self-contained form. The book treats both discrete and continuous time mathematical finance. Some topics, such as Israeli (game) contingent claims, and several proofs have not appeared before in a self-contained book form. The book contains exercises with solutions at the end of it and it can be used for a yearlong advanced graduate course for mathematical students.

Product Details

ISBN-13:	9789811209567
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	01/03/2020
Pages:	344
Product dimensions:	6.00(w) x 9.00(h) x 0.81(d)

Table of Contents

Preface; Discrete Time: Martingales and Optimal Stopping; Derivatives in General and Binomial Markets; Fundamental Theorems of Asset Pricing; Superhedging; Hedging with Risk; Continuous Time: Martingales in Continuous Time and Optimal Stopping; Introduction to Stochastic Analysis; Derivatives in the Black-Scholes Market; Further Topics: Discrete Time Case; Continuous Time Case; Solutions of Exercises; Bibliography