Stochastic Calculus with Applications to Stochastic Portfolio Optimisation

The present paper is about continuous time stochastic calculus and its application to stochastic portfolio selection problems. The paper is divided into two parts:

The first part provides the mathematical framework and consists of Chapters 1 and 2, where it gives an insight into the theory of stochastic process and the theory of stochastic calculus. The second part, consisting of Chapters 3 and 4, applies the first part to problems in stochastic portfolio theory and stochastic portfolio optimisation. ...