Mathematics of financial markets

Author(s)

Bibliographic Information

Mathematics of financial markets

Robert J. Elliott and P. Ekkehard Kopp

（Springer finance）

Springer, c1999

Available at  / 73 libraries

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Note

Bibliography: p. [271]-288

Includes index

"Corrected third printing, 2001"--T.p. verso

Description and Table of Contents

Description

The past five years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the reader's background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible.

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 Continous-Time Stochastic Calculus
  • European Options in Continous Time
  • The American Option
  • Bonds and Term Structure
  • Consumption-Investment Strategies
  • References
  • Index.

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