Bibliographical notes
In these notes, we do not make any attempt to give a systematic account of all the sources which have been relevant for the development of the field. We simply mention a number of references which had a direct influence on our decisions how to present the topics discussed in this book. More comprehensive lists of references can be found, e.g., Delbaen and Schachermayer [88], Jeanblanc, Yor and Chesney [164], Karatzas and Shreve [177], and McNeil, Frey, and Embrechts [208].
Chapter 1: The proof of Theorem 1.7 is based on Dalang, Morton, and Willinger [70]. Remark 1.18 and Example 1.19 are taken from Schachermayer [244]. The Taylor formulas in Example 1.25 and Example 1.3.3 go back at least to Lacroix [198]. Their financial ...
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