Stochastic Differential Equations

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These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge abo

Applied Stochastic Control of Jump Diffusions

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Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its ap

Malliavin Calculus for Lévy Processes with Applications to Finance

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This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents th

Stochastic Calculus for Fractional Brownian Motion and Applications

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The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the r

Advanced Mathematical Methods for Finance

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This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk.