Abstract The Real Options approach to decision-making has been useful in capturing and
valuing the flexibility inherent in many operating decisions that decision makers are faced …

I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

5 Stochastic Differential Equations Page 1 5 Stochastic Differential Equations 5.1 Examples
and Some Solution Methods We now return to the possible solutions Xt(ω) of the stochastic …

The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on
applications to mathematical finance. I found it natural to include this material as another …

Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

We are concerned with different properties of backward stochastic differential equations and
their applications to finance. These equations, first introduced by Pardoux and Peng (1990) …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

A new stochastic process, termed the VG (Variance Gamma) process, is proposed as a
model for the uncertainty underlying security prices. The unit period distribution is normal …

This book presents a concise and rigorous treatment of stochastic calculus. It also gives its
main applications in finance, biology and engineering. In finance, the stochastic calculus is …

Mathematical finance has grown into a huge area of research which requires a lot of care
and a large number of sophisticated mathematical tools. The subject draws upon quite …