MathematicalFinanceIntroduction to Continuous Time Financial Market Models

ArXiv ID: ssrn-976593 “View on arXiv”

Authors: Unknown

Abstract

These are my Lecture Notes for a course in Continuous Time Finance which I taught in the Summer term 2003 at the University of Kaiserslautern. I am aware that t

Keywords: continuous time finance, stochastic calculus, option pricing, martingales, stochastic differential equations, Derivatives / Quantitative Finance

Complexity vs Empirical Score

• Math Complexity: 8.5/10
• Empirical Rigor: 1.0/10
• Quadrant: Lab Rats
• Why: The paper presents dense, advanced mathematics centered on stochastic analysis, stochastic calculus, and derivations of the Black-Scholes model, with no empirical data or backtesting.

  flowchart TD
    A["Research Goal: Develop Continuous Time Financial Market Models"] --> B["Methodology: Stochastic Calculus & Martingales"]
    B --> C["Data: Geometric Brownian Motion SDE Inputs"]
    C --> D["Computation: Black-Scholes Option Pricing & PDE Solution"]
    D --> E["Outcome: Valuation of Derivatives & Risk Management Insights"]