Book Review: Stochastic calculus for finance

DOI10.1090/S0273-0979-08-01217-2MaRDI QIDQ5494739zbMATH OpenFDO

Authors Darrell Duffie

Publication date 29 July 2014

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

Full work available at URL https://doi.org/10.1090/S0273-0979-08-01217-2

Mathematics Subject Classification ID

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

Recommendations

• Book review of: H. Föllmer and A. Schied, Stochastic finance. An introduction in discrete time
• Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.)
• Book Reviews
• On a book 'Financial statistics and mathematical finance. Methods, models and applications.' by Ansgar Steland
• Book Reviews
• Book Reviews
• Introduction to stochastic calculus for finance. A new didactic approach.
• Mathematical Finance: A Very Short Introduction
• scientific article; zbMATH DE number 1234547

Cites work

• A general version of the fundamental theorem of asset pricing
• A partial introduction to financial asset pricing theory.
• A short history of stochastic integration and mathematical finance: the early years, 1880--1970
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On a Formula Concerning Stochastic Differentials
• Option pricing: A simplified approach
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic integral
• The pricing of options and corporate liabilities

Cited in

(6)

• Credit risk and incomplete information: filtering and EM parameter estimation
• 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
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Evolutionary Credibility Theory
• Book review of: H. Föllmer and A. Schied, Stochastic finance. An introduction in discrete time

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