Lectures on the Mathematics of Finance Ioannis Karatzas

In this text, the author discusses the main aspects of mathematical finance. These include arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. Это и многое другое вы найдете в книге Lectures on the Mathematics of Finance (Ioannis Karatzas)