Daniel Müller, Full Professor in the Department of Mathematics at ISEG/UTL, publishes "Probability and Stochastic Processes: a rigorous approach to models in Finance" through Fundação Económicas/Almedina. This is No. 17 of Series II of the Economic Collection. The book exposes the main concepts of Probability Theory and Stochastic Processes in great mathematical depth.
Work
Increasingly complex realities require the use of more sophisticated and rigorous mathematical tools to explain them. This is particularly the case with certain models often highlighted in the field of Finance, such as those based on the theory of integrals and stochastic differential equations, developed from the concept of Itô's integral and which make it possible to establish the well-known Black-Scholes formula. This book, in its final part, takes an introductory approach to the aforementioned topics and, from the outset, sets out in great mathematical depth the main concepts of Probability Theory and Stochastic Processes, which are crucial for a full understanding of some of the more mathematically demanding models, both in Finance and in other sciences. All these developments are based on a solid exposition of measure theory and integration, which is the subject of the first chapter. Numerous examples are given throughout the text and a significant number of exercises and their respective solutions are presented, allowing for effective consolidation of the knowledge acquired.
Biography
Daniel Müller Full Professor in the Department of Mathematics at the Instituto Superior de Economia e Gestão, UTL, since 1994. He has a degree in Applied Mathematics from the Faculty of Sciences of UL (1972) and a PhD from the Universities of Paris VI (1982) and Lisbon (1985) in the area of Statistical Inference of Stochastic Processes. He carries out teaching and scientific activities in this area and has published several research articles in reference and specialist journals. He is co-author of the book Analysis of Chronological Successions (Mc-Graw-Hill, 1993) and author of the book Stochastic Processes and Applications (Almedina, 2007).
