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Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks a

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical f

Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential gui

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction