Mathematics of Financial Markets

Springer Finance
Sofort lieferbar
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.
From the contents:Pricing by Arbitrage
- Martingale Measures
- The Fundamental Theorem of Asset Pricing
- Complete Markets and Martingale Re- presentation
- Stopping Times and American Options
- A Review of Continous-Time Stochastic Calculus
- European Options in Conti- nous Time
- The American Option
- Bonds and Term Structure
- Consumption-Investment Strategies
- References
- Index
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
Autor: Robert J. Elliott
ISBN-13:: 9780387212920
ISBN: 0387212922
Erscheinungsjahr: 01.02.2005
Verlag: Springer-Verlag GmbH
Gewicht: 690g
Seiten: 352
Sprache: Englisch
Auflage 05002, 2nd ed
Sonstiges: Buch, 241x162x22 mm, 6 illustrations