New Book
LECTURES ON THE MATHEMATICS OF FINANCE
by
Ioannis Karatzas
Notes of the Aisenstadt Lectures, University of Montreal, May
1996 CRM Monograph Series, Vol.#8, American Mathematical So-
ciety, 1996 ISBN 0-8218-0637-8
From the cover of the book:
"In this text, the author discusses the main aspects of mathemat-
ical finance. These include arbitrage, hedging and pricing of
contingent claims, portfolio optimization, incomplete and/or con-
strained markets, equilibrium, and transaction costs. The book
outlines advances made possible during the last fifteen years due
to the methodologies of stochastic analysis and control. Readers
are presented with current research, and open problems are sug-
gested.
This tutorial survey of the rapidly expanding field of mathemati-
cal finance is addressed primarily to graduate students in
Mathematics. Familiarity is assumed with stochastic analysis and
parabolic partial differential equations. The text makes signi-
ficant use of students' mathematical skills, but always in conec-
tion with interesting applied problems."