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 constrained markets; equilibrium; and transaction costs. The book outlines advances made possible during the last 15 years due to the methodologies of stochastic analysis and control. Readers are presented with research and open problems are suggested.
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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 constrained markets; equilibrium; and transaction costs. The book outlines advances made possible during the last 15 years due to the methodologies of stochastic analysis and control. Readers are presented with research and open problems are suggested.
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