Mathematics of Financial Markets
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ISBN-13:
9780387212920
Veröffentl:
2004
Erscheinungsdatum:
08.10.2004
Seiten:
354
Autor:
Robert J Elliott
Gewicht:
690 g
Format:
241x162x22 mm
Sprache:
Englisch
Beschreibung:
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern financial markets. The idealized continuous-time models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory, which includes a detailed analysis of the Black-Scholes model and its generalizations, American put options, term structure models and consumption-investment problems. The mathematics of martingales and stochastic calculus is developed where it is needed.
Mathematical finance is one of the most active areas of research, involving researchers from finance, mathematics, and statistics. This book presents an intermediate-level introduction to this important area.
Pricing by Arbitrage.- Martingale Measures.- The First Fundamental Theorem.- Complete Markets.- Discrete-time American Options.- Continuous-Time Stochastic Calculus.- Continuous-Time European Options.- The American Put Option.- Bonds and Term Structure.- Consumption-Investment Strategies.- Measures of Risk.
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