This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the t

In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffu

Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochast

This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are pro

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate s