Stochastic Finance

  • A. N. Shiryaev
  • M. R. Grossinho
  • P. E. Oliveira
  • M. L. Esquível

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Plenary and Invited Lectures

    1. Front Matter
      Pages 1-1
    2. Ole E. Barndorff-Nielsen, Neil Shephard
      Pages 73-82
    3. Tomasz R. Bielecki, Monique Jeanblanc°, Marek Rutkowski
      Pages 83-106
    4. Vicky Fasen, Claudia Klüppelberg, Alexander Lindner
      Pages 107-155
    5. Stanley R. Pliska
      Pages 183-196
    6. Wolfgang J. Runggaldier, Sara Di Emidio
      Pages 197-212
    7. Lian Yu, Shuzhong Zhang, Xun Yu Zhou
      Pages 213-236
  3. Contributed Talks

About these proceedings


Ever since Black, Scholes, and Merton did their pioneering work in the field of financial mathematics, continuing research has led to the rapid development of a substantial body of knowledge, with numerous applications to the common functioning of the world’s financial institutions.

Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques. The essays in Stochastic Finance describe many of these techniques.


This book is intended for experts in mathematics, statistics, mathematical finances, and economics.


Asset pricing Extreme values Martingale Mathematical finance Portfolios SAS Semimartingale Stochastic volatility

Editors and affiliations

  • A. N. Shiryaev
    • 1
  • M. R. Grossinho
    • 2
  • P. E. Oliveira
    • 3
  • M. L. Esquível
    • 4
  1. 1.Steklov Mathematical InstituteMoscowRussia
  2. 2.ISEGUniversidade Técnica de LisboaPortugal
  3. 3.Universidade de CoimbraPortugal
  4. 4.FCTUniversidade Nova de LisboaMonte de CaparicaPortugal

Bibliographic information