Martingales are a class of stochastic processes which has had profound influence on the development of probability and stochastic processes. There are few areas of the subject untouched by martingales. We will survey the theory and applications of discrete time martingales and end with some recent developments in mathematical finance.
KeywordsConditional Expectation Contingent Claim Admissible Strategy Equivalent Martingale Measure Uniform Integrability
Unable to display preview. Download preview PDF.