Autor: Ioannis Karatzas

This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore sto …

In the last twenty years extensive research has been devoted to a better understanding of the stable and other closely related infinitely divisible mod- els. Stamatis Cambanis, a distinguished educat …

Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of thes …

This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal …

This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, start …