Although the concept of entropy is originated from thermodynamics, its concepts and
relevant principles, especially the principles of maximum entropy and minimum cross …

This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

The monograph investigates the misapplication of conventional statistical techniques to fat
tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat …

The third edition of this popular introduction to the classical underpinnings of the
mathematics behind finance continues to combine sound mathematical principles with …

Copula Methods in Finance is the first book to address the mathematics of copula functions
illustrated with finance applications. It explains copulas by means of applications to major …

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 …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] on option
pricing. The key idea—attributed to R. Merton in a footnote of the Black-Scholes paper—is …

We consider the option pricing problem when the risky underlying assets are driven by
Markov-modulated Geometric Brownian Motion (GBM). That is, the market parameters, for …

In a financial market model with constraints on the portfolios, define the price for a claim C as
the smallest real number p such that supπ E [U (XTx+ p, π− C)]≥ supπ E [U (XTx, π)], where …