Mathematics of Financial Markets / Edition 1

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1998 Hard cover BRAND NEW(NEVER OPENED)! ! -ships immediately Sewn binding. Cloth over boards. 304 p. Contains: Illustrations. Springer Finance. Audience: General/trade.

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Overview

"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." The text should prove useful to graduates with a sound mathematical background, ideally a knowledge of elementary concepts from measure-theoretic probability, who wish to understand the mathematical models on which the bewildering multitude of current financial instruments used in derivative markets and credit institutions is based. The first edition has been used successfully in a wide range of Master's programs in mathematical finance and this new edition should prove even more popular in this expanding market. It should equally be useful to risk managers and practitioners looking to master the mathematical tools needed for modern pricing and hedging techniques.
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Editorial Reviews

From the Publisher
From the reviews:

"...This book is a valuable addition to a graduate student's reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." SIAM Review, December 2005

From the reviews of the second edition:

"The book is very carefully formatted. … this book is a valuable addition to a graduate student’s reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." (Alexandre D’Aspremont, SIAM Reviews, December, 2005)

"The emphasis of the first edition of this book was on developing the mathematical concepts for the rapidly expanding field of mathematical finance. This second edition contains a significant number of changes and additions … . The target audience is readers with sound mathematical background on elementary concepts from measure-theoretic probability … . It should be an equally valuable resource to practitioners interested in the mathematical tools … . will be a very useful addition to any scholarly library." (Theofanis Sapatinas, Journal of Applied Sciences, Vol. 32 (6), 2005)

"The second edition adds new matieral from current active research areas. A new chapter on coherent risk measures for instance reflects the recent trend in research and applications in the area of risk management. In summary, this is an excellent textbook in mathematical finance, and I can definitely recommend it." (S. Peng, Short Book Reviews of the ISI, June 2006)

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Product Details

  • ISBN-13: 9780387985534
  • Publisher: Springer-Verlag New York, LLC
  • Publication date: 12/28/1998
  • Series: Finance Series
  • Edition description: Older Edition
  • Edition number: 1
  • Pages: 304
  • Product dimensions: 6.28 (w) x 9.47 (h) x 0.68 (d)

Table of Contents

1 Pricing by arbitrage 1
2 Martingale measures 27
3 The first fundamental theorem 57
4 Complete markets 87
5 Discrete-time American options 105
6 Continuous-time stochastic calculus 131
7 Continuous-time European options 167
8 The American put option 223
9 Bonds and term structure 247
10 Consumption-investment strategies 285
11 Measures of risk 303
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