Exploring a broad spectrum of mathematical ideas, this book provides a comprehensive yet approachable narrative that begins with fundamental concepts and progresses to contemporary research topics. It highlights the evolution of mathematical inventions, making complex ideas understandable for readers at various levels of expertise.
Students and instructors alike will benefit from this rigorous, unfussy text. It keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence, conditioning and limit theorems for random sequences. Motivational examples, careful proofs and plenty of exercises facilitate self-study.
This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the Black-Scholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues.