THE MATHEMATICAL THEORY OF INVESTMENT

By RICHARD BROWN

CONTENTS SHORT REVIEW OF PROBABILITY AND OF STOCHASTIC PROCESSES REVIEW OF THEORY SOLVED EXERCISES PROPOSED EXERCISES PORTFOLIO OPTIMIZATION IN DISCRETE-TIME MODELS BINOMIAL MODEL FOR OPTION PRICING ABSENCE OF ARBITRAGE AND COMPLETENESS OF MARKET MODELS ITԒS FORMULA AND STOCHASTIC DIFFERENTIAL EQUATIONS PARTIAL DIFFERENTIAL EQUATIONS IN FINANCE BLACK-SCHOLES MODEL FOR OPTION PRICING AND HEDGING STRATEGIES AMERICAN OPTIONS EXOTIC OPTIONS INTEREST RATE MODELS PRICING MODELS BEYOND BLACK-SCHOLES RISK MEASURES: VALUE AT RISK AND BEYOND REFERENCES