A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for
Martingale Methods in Statistics provides a unique introduction to statistics of stochastic processes written with the author’s strong desire to present what
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk m
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial deriv