Stochastic Finance

Amanda Turner is Professor of Statistics at the University of Leeds. She received her Ph.D. from the University of Cambridge in Scaling Limits of Stochastic Processes in 2007. Before moving to Leeds, she taught probability and stochastic processes for finance at Lancaster University and the University of Geneva for over fifteen years. She is a founding member of the Royal Statistical Society's Applied Probability Section and is heavily involved in the London Mathematical Society, including as a member of council since 2021. When not doing mathematics, she enjoys mountaineering and skiing. Dirk Zeindler is Senior Lecturer in Pure Mathematics at Lancaster University. He holds a Ph.D. in random matrix theory from the University of Zurich. He has taught probability courses at Lancaster University and at the University of Bielefeld for over ten years. His teaching includes introductory first-year probability to advanced financial mathematics, for mathematics, accounting and finance students. His research interests are in probability and number theory. In particular, he and his co-authors have proven that at least 41.7% of the zeros of the Riemann zeta lie on the critical line, which is the current world record.

Preface; Acknowledgements; Part I. Discrete-Time Models for Finance: 1. Introduction to finance; 2. Discrete probability; 3. Binomial or CRR model; 4. Finite market model; 5. Discrete Black–Scholes model; Part II. Continuous-Time Models for Finance: 6. Continuous probability; 7. Brownian motion; 8. Stochastic integration; 9. The Black–Scholes model; A Supplementary material; Bibliography; Symbol index; Index.