Aspects of Mathematical Finance

These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes.

The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques.