scientific article; zbMATH DE number 1542137

MaRDI QIDQ4520137zbMATH OpenFDO

Authors Siu-Ah Ng

Publication date 11 December 2000

zbMATH Keywords

financial mathematicshypermodelsnonstandard analysis

Mathematics Subject Classification ID

Other applications of nonstandard models (economics, physics, etc.) (03H10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91Gxx)

Review text

This monograph recasts the foundations of the Black-Scholes (and Cox-Ross-Rubinstein) theory, or better their approach to modeling financial markets, in terms of non-standard analysis and hypermodels. Chapter 7, the last chapter, of the book is a true introduction, at a leisurely pace, to infinitesimal analysis covering quite a lot of ground and reaching all the way to, for instance, infinitesimal versions of Malliavin calculus. Hypermodels are really an excellent tool for modeling continuous behavior via discrete approaches constructed initially at a very intuitive level. The exposition is clear and detailed, and the enthusiasm of the author shows in every chapter.

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Cited in

(4)

• Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22--25, 2015
• scientific article; zbMATH DE number 1163406 (Why is no real title available?)
• First steps towards an equilibrium theory for Lévy financial markets
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Describes a project that uses

Uses Software

• Mathematica

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