Aspects of Mathematical Finance

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Marc Yor
Springer Science & Business Media, Feb 13, 2008 - Mathematics - 80 pages
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Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries.

These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes.

The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques.


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Same old tricks 'french probabilists' have been doing for the last 20 years... nothing new around the corner. In summary, there is nothing new you will not learn sticking to classics.

Selected pages


Some Aspects of Financial Mathematics
Financial Uncertainty Risk Measures and Robust Preferences
The Notion of Arbitrage and Free Lunch in Mathematical Finance
Dynamic Financial Risk Management
Stochastic Clock and Financial Markets
Options and Partial Differential Equations
Mathematics and Finance
Author Index
Subject Index

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About the author (2008)

Marc Yor is a Professor in the Laboratoire de Probabilites et Modeles Aleatoires at Universite Pierre et Marie Curie (Paris VI).

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