The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics.
Prof. Dr. Ludger Rüschendorf is professor at the University of Freiburg in the field of mathematical stochastics since 1993. Previously, he taught and conducted research at the universities of Hamburg, Aachen, Freiburg and Münster.
Innehållsförteckning
Option pricing in models in discrete time.- Scorohod's embedding theorem and Donsker's theorem.- Stochastic integration.- Elements of stochastic analysis.- Option pricing in complete and incomplete markets.- Utility optimization, minimum distance martingales, and utility indiff.- Variance-minimum hedging.
