This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applicatio

This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Ti

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical f

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand,