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Principles of Infinitesimal Stochastic and Financial Analysis

Author

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  • Imme van den Berg

    (Universidade de Évora, Portugal)

Abstract

There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level.

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Suggested Citation

  • Imme van den Berg, 2000. "Principles of Infinitesimal Stochastic and Financial Analysis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4468, June.
    • Handle: RePEc:wsi:wsbook:4468
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    Cited by:

    1. Francine Diener & MARC Diener, 2004. "Asymptotics of the price oscillations of a European call option in a tree model," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 271-293, April.
    2. Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.

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