‘Peacocks’ and their associated mathematical phenomena, ‘martingales’, play a key role in the mathematics of finance. This monograph uses a variety of methods from time inversion to Skorokhod embeddin
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical backgr
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role