In this chapter we briefly describe the basic concepts of stochastic market models. Further, we introduce a multystock stochastic continuous-time market model that will be used in the following chapters, and we give some necessary definitions.


Filtration Income Volatility Hedging 


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Copyright information

© Kluwer Academic Publishers 2002

Authors and Affiliations

  • Nikolai Dokuchaev
    • 1
    • 2
  1. 1.The Institute of Mathematics and MechanicsSt. Petersburg State UniversitySt. PetersburgRussia
  2. 2.Department of Mathematics and Computer ScienceThe University of West IndiesKingston 7Jamaica

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