Stochastic Finance [Paperback]

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the worlds financial institutions.

Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.

Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the worlds financial institutions.

Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.

Preface PART I. PLENARY AND INVITED LECTURES 1. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (Yacine A?t-Sahalia, Per A. Mykland, Lan Zhang) 2. Multipower Variation and Stochastic Volatility (Ole E. Barndorff-Nielsen, Neil Shephard) 3. Completeness of a General Semimartingale Market under Constrained Trading (Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski) 4. Extremal behavior of stochastic volatility models (Vicky Fasen, Claudia Kl?ppelberg, Alexander Lindner) 5. Capital Asset Pricing for Markets with Intensity Based Jumps (Eckhard Platen) 6.lS-