Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Levy and diffusion processes.
From the Publisher:
Incorporates financial concepts and instruments, such as arbitrage opportunities, admissible strategies, contingent claims, option pricing, and others. The first half of this book is devoted to continuous path processes, while the second half covers discontinuous processes.Presents stochastic processes of common use in mathematical finance. This book deals with continuous path processes and discontinuous processes.