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2002, Volume 237  
| General information | Contents |


Stochastic financial mathematics


Collected papers

Volume Editor: A. N. Shiryaev
Editor in Chief: E. F. Mishchenko


Abstract: Stochastic calculus is a powerful tool that provides a basis for the development of modern financial mathematics and financial engineering. This volume contains papers in which the primary emphasis is placed on the problems of stochastic and statistical analysis of financial instruments (stocks, options, investment strategies, etc.). Problems are considered that concern the validity of the fundamental theorems of financial mathematics, a relationship between actuarial and financial methods, and the construction of hedging strategies and optimal investment strategies. A critical analysis of the construction of probabilistic-statistical models for the dynamics of financial indices is carried out. Among the contributors are scientists from the Steklov Institute of Mathematics and Moscow State University, as well as many foreign scientists that work in close cooperation with Russian colleagues.

ISBN: 5-02-002803-7

Full text: Contents

Citation: Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, ed. A. N. Shiryaev, E. F. Mishchenko, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 319 pp.
Citation in format AMSBIB:
\Bibitem{1}
\book Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\ed A.~N.~Shiryaev, E.~F.~Mishchenko
\totalpages 319
\mathnet{http://mi.mathnet.ru/book250}

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    Additional information

    Stochastic Financial Mathematics
    Collected papers. Edited by Corresponding member of RAS A. N. Shiryaev

    Stochastic calculus is a powerful tool that provides a basis for the development of modern financial mathematics and financial engineering. This volume contains papers in which the primary emphasis is placed on the problems of stochastic and statistical analysis of financial instruments (stocks, options, investment strategies, etc.). Problems are considered that concern the validity of the fundamental theorems of financial mathematics, a relationship between actuarial and financial methods, and the construction of hedging strategies and optimal investment strategies. A critical analysis of the construction of probabilistic-statistical models for the dynamics of financial indices is carried out. Among the contributors are scientists from the Steklov Institute of Mathematics and Moscow State University, as well as many foreign scientists that work in close cooperation with Russian colleagues.

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