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Lectures on Mathematical Finance and Related topics / Kifer, Yuri

By: Publication details: World Scientific 2019Description: 344 pages. 21cmsISBN:
  • 9789811209567
Subject(s): DDC classification:
  • 332.0151 KIF
Summary: Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and stochastic analysis. This book is the first one which presents not only main results in the mathematical finance but also these 'related topics' with all proofs and in a self-contained form. The book treats both discrete and continuous time mathematical finance. Some topics, such as Israeli (game) contingent claims, and several proofs have not appeared before in a self-contained book form. The book contains exercises with solutions at the end of it and it can be used for a yearlong advanced graduate course for mathematical students.
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English Books Anna Centenary Library 4TH FLOOR, A WING 332.0151 KIF (Browse shelf(Opens below)) Available 689765

Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and stochastic analysis. This book is the first one which presents not only main results in the mathematical finance but also these 'related topics' with all proofs and in a self-contained form. The book treats both discrete and continuous time mathematical finance. Some topics, such as Israeli (game) contingent claims, and several proofs have not appeared before in a self-contained book form. The book contains exercises with solutions at the end of it and it can be used for a yearlong advanced graduate course for mathematical students.

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