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This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance, with applications to the modeling of risk. Topics include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes, and jump diffusions. Fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance.

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245: $a: Advanced Mathematical Methods for Finance
245: $b:
082: $a:
100: $a: Giulia Di Nunno, Bernt Øksendal
650: $a: Finance / Mathematics / Quantitative Finance
250: $a:
440: $v:
250: $b: Springer
250: $c: 2011
020: $a: 978-3642184130
300: $a: