Martingale methods in financial modelling.

DOI10.1007/B137866zbMATH Open1058.60003OpenAlexW4292070138MaRDI QIDQ703592FDOQ703592

Publication date: 11 January 2005

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b137866

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zbMATH Keywords

interest rate models stochastic volatility mathematical finance stochastic calculus financial derivatives martingale techniques continuous time models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic analysis (60Hxx)

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