Mathematics of Financial Markets / Edition 1

Mathematics of Financial Markets / Edition 1

by Robert James Elliott, P. Ekkehard Kopp
     
 

ISBN-10: 0387985530

ISBN-13: 9780387985534

Pub. Date: 12/28/1998

Publisher: Springer-Verlag New York, LLC

this book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures, and swaps. The treatment is detailed, providing a clear understanding of pricing and hedging for call and put options.

Overview

this book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures, and swaps. The treatment is detailed, providing a clear understanding of pricing and hedging for call and put options.

Product Details

ISBN-13:
9780387985534
Publisher:
Springer-Verlag New York, LLC
Publication date:
12/28/1998
Series:
Finance Series
Edition description:
Older Edition
Pages:
304
Product dimensions:
6.28(w) x 9.47(h) x 0.68(d)

Table of Contents

Pricing by Arbitrage
• Martingale Measures
• The Fundamental Theorem of Asset Pricing
• Complete Markets and Martingale Representation
• Stopping Times and American Options
• A Review of Continuous Time Shastic Calculus
• European Options in Continuous Time
• The American Option
• Bonds and Term Structure
• Consumption-Investment Strategies *

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