© 2011

Advanced Mathematical Methods for Finance

  • Giulia Di Nunno
  • Bernt Øksendal

Table of contents

  1. Front Matter
    Pages I-VIII
  2. Beatrice Acciaio, Irina Penner
    Pages 1-34
  3. Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
    Pages 35-74
  4. Christian Bender, Tommi Sottinen, Esko Valkeila
    Pages 75-103
  5. Francesca Biagini, Serena Fuschini, Claudia Klüppelberg
    Pages 105-132
  6. Dorje C. Brody, Lane P. Hughston, Andrea Macrina
    Pages 133-153
  7. Griselda Deelstra, Jan Dhaene, Michèle Vanmaele
    Pages 155-179
  8. Giulia Di Nunno, Olivier Menoukeu Pamen, Bernt Øksendal, Frank Proske
    Pages 181-221
  9. Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
    Pages 223-245
  10. Erik Ekström, Carl Lindberg, Johan Tysk
    Pages 247-255
  11. Marco Papi, Maya Briani
    Pages 257-291
  12. Bert van Es, Peter Spreij, Harry van Zanten
    Pages 293-312
  13. Stefan Geiss, Emmanuel Gobet
    Pages 313-331
  14. Selim Gökay, Alexandre F. Roch, H. Mete Soner
    Pages 333-365
  15. B. Iftimie, M. Marinescu, C. Vârsan
    Pages 397-415
  16. Aleksandar Mijatović, Martijn Pistorius
    Pages 455-508

About this book


This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected 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. Moreover, 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. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.


Calculus of variations Comonotonicity applied in finance Fractional processes in finance Mathematical finance reviewed Modeling of long and short range dependence Pricing and hedging Quantitative finance Stochastic control with finite and infinite horizon Stochastic finance Stochastic modeling in finance Stochastic partial differential equations

Editors and affiliations

  • Giulia Di Nunno
    • 1
  • Bernt Øksendal
    • 2
  1. 1.CMA, Department of MathematicsUniversity of OsloOsloNorway
  2. 2.CMA, Department of MathematicsUniversity of OsloOsloNorway

About the editors

Giulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.

Bibliographic information