A partial introduction to financial asset pricing theory.

DOI10.1016/S0304-4149(00)00064-8zbMath1048.91067MaRDI QIDQ1879511

Philip E. Protter

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

arbitragecomplete marketsbackwards stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integrals (60H05)

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IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Exact solutions of a model for asset prices by K. Takaoka ⋮ Asian options with jumps ⋮ Risk-neutral compatibility with option prices ⋮ ASSET PRICE BUBBLES IN INCOMPLETE MARKETS ⋮ Book Review: Stochastic calculus for finance ⋮ A Mathematical Theory of Financial Bubbles ⋮ Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices ⋮ The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

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