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 …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

The story of modelling financial markets with stochastic processes began in 1900 with the
study of Bachelier (1900). He modelled stocks as a Brownian motion with drift. However, the …

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 reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …

This monograph is an introduction to some aspects of stochastic analysis in the framework of
normal martingales, in both discrete and continuous time. The text is mostly self-contained …

This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001)
633–664] for obtaining a reduced form credit risk model from a structural model. Duffie and …

We present three generic constructions of martingales that all have the Markov property with
known and prespecified marginal densities. These constructions are further investigated for …

Incompleteness of markets driven by a mixed diffusion Page 1 Finance Stochast. 4, 209–222
(2000) c Springer-Verlag 2000 Incompleteness of markets driven by a mixed diffusion N …