A benchmark approach to quantitative finance
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option pricingstochastic processesportfolio optimizationstochastic differential equationsasset pricingmarket models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91Gxx)
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