© 2018

Introduction to Stochastic Finance


Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Jia-An Yan
    Pages 75-105
  3. Jia-An Yan
    Pages 175-193
  4. Jia-An Yan
    Pages 195-215
  5. Jia-An Yan
    Pages 217-246
  6. Jia-An Yan
    Pages 263-305
  7. Jia-An Yan
    Pages 327-341
  8. Back Matter
    Pages 387-403

About this book


This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model,  and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.


portfolio selection pricing hedging Black-Scholes model diffusion process model option interest rate term structure model static risk measure

Authors and affiliations

  1. 1.Academy of Mathematics and System ScienceChineses Academy of SciencesBeijingChina

About the authors

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.

Bibliographic information

Industry Sectors
Finance, Business & Banking


“The monograph is a wonderful text for graduate courses in mathematical finance and related fields. … The materials presented in the monograph are organised in a thoughtful way.” (Tak Kuen Siu, zbMATH 1420.91001, 2019)