There are several distinctions between this book and others. The primary distinction is that we developed derivatives pricing which could not be reduced to Black-Scholes benchmark. Other distinction we do not used either expected or present value reduction standards to present equality two cash flows generated by derivative instruments. Our approach in pricing derivatives is based on the equal investment principle applied for each admissible scenario. For instance, a call option price is reflected by the underlying return for each scenario that promises price at maturity higher than its...

This book gives a comprehensive introduction to some modern problems of stochastic differential equations and its applications. The content can be divided into four primary parts.1) Generalization of standard growth condition of the diffusion coefficient of Ito equations.2) Two parametric Ito formula and Stochastic Goursat problem, 3) Cauchy problem for linear and nonlinear stochastic equations of the parabolic type. 4) Applications. Latter part deals with: Stochastic boundary value problem of the hyperbolic type, Stochastic vibration of mechanical systems under high frequency external random...