Translations of Mathematical Monographs 2002; 194 pp; hardcover Volume: 212 ISBN10: 0821829459 ISBN13: 9780821829455 List Price: US$90 Member Price: US$72 Order Code: MMONO/212
 Contemporary finance and actuarial calculations have become so mathematically complex that a rigorous exposition is required for an accurate and complete presentation. This volume delivers just that. It gives a comprehensive and uptodate methodology for financial pricing and modelling. Also included are special cases useful for practical applications. Beyond the traditional areas of hedging and investment on complete markets (the BlackScholes and CoxRossRubinstein models), the book includes topics that are not currently available in monograph form, such as incomplete markets, markets with constraints, imperfect forms of hedging, and the convergence of calculations in finance and insurance. The book is geared toward specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and postdocs in corresponding areas of study. Readers should have a foundation in probability theory, random processes, and mathematical statistics. Readership Specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and postdocs in corresponding areas of study. Reviews "The style of this monograph is precise, correct and includes the necessary details ... good and uptodate references ... recommend it to both theoreticians and practitioners in mathematical finance and insurance ... can also serve as a modern course in actuarial and financial mathematics and quantitative risk management for students in mathematical economics."  Mathematical Reviews Table of Contents  Financial systems: Innovations and the risk calculus
 Random processes and the stochastic calculus
 Hedging and investment in complete markets
 Hedging and incomplete markets
 Markets with structural constraints and transaction costs
 Imperfect forms of hedging
 Dynamic contingent claims and American options
 Analysis of "bond" contingent claims
 Economics of insurance and finance: Convergence of quantitative methods of calculations
 Bibliographical notes
 Bibliography
 Subject index
