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Mathematical Methods for Financial Markets
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289 b
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Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Lévy and diffusion processes.This book interlaces financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, default risk, ruin, with Brownian motion, diffusion processes, Lévy processes, together with the basic properties of these processes. The first half of the book is devoted to continuous path processes while the second half covers discontinuous processes. Assuming only basic knowledge of probability theory, the book is organized so that the mathematical facts pertaining to a given financial question are gathered close to the study of that question.
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