ABSTRACT

The prolonged boom in the US and European stock markets has led to increased interest in the mathematics of security markets, most notably in the theory of stochastic integration. This text gives a rigorous development of the theory of stochastic integration as it applies to the valuation of derivative securities. It includes all the tools necessar

chapter 1|102 pages

Preliminaries

chapter 2|28 pages

Gaussian Processes

chapter 4|86 pages

a The model