Martingale

Astor Piazzolla’s Nuevo tango transcends categories and represents an amalgam of international influences. All the arrangements in this album are of instrumental works that Piazzolla composed for his Quinteto Nuevo Tango. Most prominent is the Vivaldi-inspired Las cuatro estaciones porteñas (‘The Four Seasons of Buenos Aires’) reimagined in concerto style for solo violin and string orchestra by Leonid Desyatnikov. The seven other companion pieces, arranged by Ken Selden, use printed sources for structure but incorporate improvisations transcribed from original recordings made by Piazzolla and his band. On this, his third Piazzolla album for Naxos, internationally recognised violinist Tomás Cotik pays homage to his birth city of Buenos Aires.

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model.

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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing.

The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses.

The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses.

Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students.