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Lecture Notes
The notes cover several topics such as Measure Theory, Discrete Time Martingales, Discrete Time Option Pricing, Continuous Time, Martingales, Stochastic Integrals, Stochastic Calcu...
Lecture Notes
"These lecture notes treat various versions of the so-called “fundamental theorem
of asset pricing”. Many students are familiar with statements about models for
financia...
SIAMCO
2008
13 years 11 months ago
2008
We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...