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Mathematics of financial markets

Author: Robert J Elliott; P E Kopp
Publisher: New York : Springer, ©2005.
Series: Springer finance.
Edition/Format:   eBook : Document : English : 2nd edView all editions and formats
Database:WorldCat
Summary:
"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.  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Elliott, Robert J. (Robert James), 1940-
Mathematics of financial markets.
New York : Springer, ©2005
(DLC) 2004052557
(OCoLC)56058331
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Robert J Elliott; P E Kopp
ISBN: 0387212922 9780387212920 9780387226408 0387226400
OCLC Number: 225382960
Description: 1 online resource (xi, 352 pages) : illustrations.
Contents: Pricing by Arbitrage --
Martingale Measures --
The First Fundamental Theorem --
Complete Markets --
Stopping Times and American Options --
Continous-Time Stochastic Calculus --
European Options in Continuous Time --
The American Put Option --
Bonds and Term Structure --
Consumption-Investment Strategies --
Measures of Risk.
Series Title: Springer finance.
Responsibility: Robert J. Elliott and P. Ekkehard Kopp.
More information:

Abstract:

Presents the mathematics that underpins pricing models for derivative securities in financial markets, such as options, futures and swaps. This title adds material from areas of active research, such  Read more...

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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 Read more...

 
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