A partial introduction to financial asset pricing theory

Philip Protter

Stochastic Processes and their Applications, 2001, vol. 91, issue 2, 169-203

Abstract: We present an introduction to mathematical Finance Theory for mathematicians. The approach is to start with an abstract setting and then introduce hypotheses as needed to develop the theory. We present the basics of European call and put options, and we show the connection between American put options and backwards stochastic differential equations.

Keywords: Financial; asset; pricing; theory; Options; Arbitrage; Complete; markets; Numeraire; invariance; Semimartingale; Backwards; stochastic; differential; equations (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (8)

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