Application to Mathematical Finance
In this chapter we describe how the concepts, methods and results in the previous chapters can be applied to give a rigorous mathematical model of finance. We will concentrate on the most fundamental issues and those topics which are most closely related to the theory in this book. We emphasize that this chapter only intends to give a brief introduction to this exciting subject, which has developed very fast during the last years and shows no signs of slowing down. For a more comprehensive treatment we refer the reader to Duffle (1996), Karatzas (1996), Karatzas and Shreve (1997), Lamberton and Lapeyre (1996), Musiela and Rutkowski (1997), Kallianpur (1997) and the references therein.
KeywordsBrownian Motion Option Price Price Process American Option Contingent Claim
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