**Contemporary Mathematics**

Volume: 515;
2010;
146 pp;
Softcover

MSC: Primary 91; 65; 60;

Print ISBN: 978-0-8218-4673-5

Product Code: CONM/515

List Price: $62.00

Individual Member Price: $49.60

**Electronic ISBN: 978-0-8218-8194-1
Product Code: CONM/515.E**

List Price: $62.00

Individual Member Price: $49.60

# Mathematics in Finance

Share this page *Edited by *
*Santiago Carrillo Menéndez; José Luis Fernández Pérez*

This volume contains survey papers on
mathematical finance based on some courses given at the
“Lluís Santaló” Summer School of the Real
Sociedad Matemática Española, held in July 2007 at the
Universidad Internacional Menéndez Pelayo, Santander (Spain).
The primary topics are pathwise approximations of stochastic
differential equations, Hedge funds, and credit derivatives.

The paper by L. Seco and F. Chen provides a systematic survey of hedge funds
from a rigorous mathematical point of view. The related paper by M.
Escobar, S. Krämer, F. Scheibl, L. Seco and R. Zagst introduces a new
theoretical framework for the pricing of hedge funds' equity, inspired by
the framework of Black and Cox for the valuation of company equity as a call
option.

A general framework for deriving high order, stable and tractable
path-wise approximations of Stratonovich stochastic differential
equations as applied to finance is the subject of the paper of
L. G. Gyurkó and T. Lyons.

The paper by R. Zagst and M. Scherer is a short course on the different
approaches used for pricing, hedging and risk management of credit
derivatives.

Researchers and practitioners in mathematical finance will find in
this book a collection of excellent, up-to-date and mathematically
rigorous presentations of some of the most advanced techniques for
pricing and risk management.

This book is published in cooperation with Real Sociedad Matemática Española (RSME)

#### Table of Contents

# Table of Contents

## Mathematics in Finance

#### Readership

Graduate students and research mathematicians interested in mathematical finance.