Book Review: Stochastic calculus for finance

DOI10.1090/S0273-0979-08-01217-2zbMath1292.00021MaRDI QIDQ5494739

J. Darrell Duffie

Publication date: 29 July 2014

Published in: Bulletin of the American Mathematical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) External book reviews (00A17) Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx)

Related Items (5)

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors ⋮ STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS ⋮ A Class of Discrete Transformation Survival Models With Application to Default Probability Prediction ⋮ Evolutionary Credibility Theory ⋮ CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• A partial introduction to financial asset pricing theory.
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach
• On a Formula Concerning Stochastic Differentials
• Stochastic integral

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