Stochastic Processes and Financial Mathematics

The book provides an introduction to advanced topics in shastic processes and related shastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered.

Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic ...