Preface This text is an introduction to pricing and hedging in discrete and continuous time financial models without friction (i.e. without transaction costs), with an emphasis on the complementarity between analytical and probabilistic methods. Its contents are mostly mathematical, and also aim...

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

"It is a fairly complete introduction accessible to advanced undergraduates; Also covers more advanced aspects of interest rate modeling; Includes many graphs and code illustrating the modeling of interest rates; Each chapter is accompanied with exercises and their complete solutions."

"Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models...