Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure.. "Introduction to Option Pricing Theory is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level. (text from the publisher)

TABLE OF CONTENTS
Preface
1 Stochastic Integration
2 Ito’s Formula and its Applications
3 Representation of Square Integrable Martingales
4 Stochastic Differential Equations
5 Girsanov’s Theorem
6 Option Pricing in Discrete Time
7 Introduction to Continuous Time Trading
8 Arbitrage and Equivalent Martingale Measures
9 Complete Markets
10 Black and Scholes Theory
11 Discrete Approximations
12 The American Options
13 Asset Pricing with Stochastic Volatility
14 The Russian Options