This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal theory, and Merton's fund separation theory. It includes a solved example for every new technique presented, numerous exercises and a Further Reading List in each chapter. This new edition includes new chapters on measure theory, probability theory, Girsanov transformations, the LIBOR and Swap Market Models and martingale ...
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This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal theory, and Merton's fund separation theory. It includes a solved example for every new technique presented, numerous exercises and a Further Reading List in each chapter. This new edition includes new chapters on measure theory, probability theory, Girsanov transformations, the LIBOR and Swap Market Models and martingale representations.
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