Mathematics of financial markets

Mathematics of financial markets /

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"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 moder...

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Bibliographic Details
Main Author: Elliott, Robert J. (Robert James), 1940-
Other Authors: Kopp, P. E., 1944-
Format: Book
Language:English
Published: New York : Springer, ©2005.
Edition:2nd ed.
Series:Springer finance
Subjects:
Investments > Mathematics.
Stochastic analysis.
Options (Finance) > Mathematical models.
Securities > Prices > Mathematical models.
Investissements > Mathématiques.
Analyse stochastique.
Options (Finances) > Modèles mathématiques.
Valeurs mobilières > Prix > Modèles mathématiques.
Derivat > Wertpapier
Preisbildung
Mathematisches Modell
Finanzmathematik
Finanzinnovation
Investeringen.
Stochastische analyse.
Opties.
Wiskundige modellen.
Effecten.
Marché financier.
Option (Finances)
Modèle mathématique.
Valeur mobilière.
Mathématique financière.
Placement financier.
Cours du marché
Table of Contents:
  • 1. Pricing by arbitrage
  • 2. Martingale measures
  • 3. The first fundamental theorem
  • 4. Complete markets
  • 5. Discrete-time American options
  • 6. Continuous-time stochastic calculus
  • 7. Continuous-time European options
  • 8. The American put option
  • 9. Bonds and term structure
  • 10. Consumption-investment strategies
  • 11. Measures of risk.

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