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This is an outline of the seminar contents.
The main reference for the seminar is Rama Cont and Tankov[1]. Purely mathematical texts on the same subject are Protter[2] and Jacod and Shiryaev[3]. Texts being more devoted to finance are Shreve[4] and Shiryaev[5].
Home reading
[edit]Rama Cont and Tankov[1]: Chapter 1 and the introduction of each Chapter 2--15.
Protter[2]: Chapter I, in particular section 4.
References
[edit]- ^ a b Rama Cont; Peter Tankov (26 October 2012). Financial Modelling with Jump Processes, Second Edition. CRC PressINC. ISBN 978-1-4200-8219-7. Retrieved 24 January 2013.
- ^ a b Philip Protter (24 May 2005). Stochastic Integration and Differential Equations: Version 2.1. Springer. ISBN 978-3-540-00313-7. Retrieved 24 January 2013.
- ^ Jean Jacod; Albert N. Shiryaev (31 December 1987). Limit theorems for stochastic processes. Springer-Verlag. ISBN 978-3-540-17882-8. Retrieved 24 January 2013.
- ^ Steven E. Shreve (3 June 2004). Stochastic Calculus for Finance II: Continuous-Time Models. Springer. ISBN 978-0-387-40101-0. Retrieved 24 January 2013.
- ^ Albert N. Shiryaev (1 February 1999). Essentials of Stochastic Finance: Facts, Models, Theory. World Scientific. ISBN 978-981-02-3605-2. Retrieved 24 January 2013.
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