Lectures on Mathematical Finance and Related Topics

DOI10.1142/11534zbMath1458.91003OpenAlexW2964750278MaRDI QIDQ5205479

Yuri Kifer

Publication date: 11 December 2019

Full work available at URL: https://doi.org/10.1142/11534

zbMATH Keywords

optimal stoppingmartingalesasset pricingderivativesmathematical financestochastic analysissuperhedging

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial markets (91G15)

Related Items (3)

Strong diffusion approximation in averaging with dynamical systems fast motions ⋮ Strong diffusion approximation in averaging and value computation in Dynkin's games ⋮ On shortfall risk minimization for game options

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