Mathematical Finance
A special issue of Mathematics (ISSN 2227-7390).
Deadline for manuscript submissions: closed (31 August 2017) | Viewed by 16715
Special Issue Editor
Special Issue Information
Dear Colleagues,
Mathematical modeling in finance has continued to enjoy a strong interaction with research in stochastic processes. This interaction has gone both ways: mathematical finance has provided a natural set of applications for the vast panoply of tools and results developed in the theory of stochastic processes, and rekindled interest in some portions of this theory, such as expansion of filtrations, martingale representation theory, extensions of the Malliavin calculus, Levy processes, and their connection with partial integro-differential equations. However, mathematical finance has also been a source of new research questions and challenges that have generated new motivations and an impetus for research in stochastic processes. Examples may be found in the theory of Backward Stochastic differential equations, the theory of nonlinear filtration-consistent expectations and the nascent theory of optimal martingale transport, in which research agendas have been strongly motivated, if not directly inspired, by mathematical finance. The goal of this Special Issue is to explore such interactions between stochastic processes and mathematical finance.
Dr. Indranil SenGupta
Guest Editor
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Keywords
- Stochastic processes
- Mathematical finance
- Integro-differential equations
- Option pricing and stochastic volatility
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