Principles of Infinitesimal Stochastic and Financial Analysis

Imme van den Berg
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Imme van den Berg: Universidade de Évora, Portugal

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level.

Keywords: Mathematical Finance; Cox-Ross-Rubinstein Model; Black-Scholes Option-Pricing; Hedging Strategy; Martingales; Stochastic Processes; Geometric Brownian Motion; Nonstandard Analysis; Asymptotic Methods; Orders of Magnitude (search for similar items in EconPapers)
Date: 2000
ISBN: 9789810243586
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Citations: View citations in EconPapers (2)

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Chapters in this book:

Ch 1 The binomial cone and the binomial coefficients , pp 1-7

Imme van den BERG

Ch 2 Asymptotic properties of finite random variables , pp 9-30

Imme van den BERG

Ch 3 Finite stochastic processes , pp 31-81

Imme van den BERG

Ch 4 Stock prices , pp 83-96

Imme van den BERG

Ch 5 Options , pp 97-129

Imme van den BERG

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