Mathematics of financial markets
Author(s)
Bibliographic Information
Mathematics of financial markets
（Springer finance, Textbook）
Springer, c2005
2nd ed
- : pbk
Available at / 40 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
ELL||3||5(2)200003619031
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Note
Includes bibliographical references (p. 329-348) and index
Description and Table of Contents
Description
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.
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 Stochastic Calculus * European Options in Continuous Time * The American Option * Bonds and Term Structure * Consumption-Investment Strategies *
by "Nielsen BookData"
