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Mathematics of financial markets

Author: Robert J Elliott; P E Kopp
Publisher: New York : Springer, ©1999 (corrected second printing 2000)
Series: Springer finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
This work is aimed at an audience with asound mathematical background wishing to leam about the rapidly expanding field of mathematical finance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and prob ability. The emphasis throughout is on developing the mathematical concepts re℗Ư quired for the theory within the context of their application. No  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, ©1999 (corrected second printing 2000)
(DLC) 98008540
(OCoLC)39275718
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Robert J Elliott; P E Kopp
ISBN: 0387226400 9780387226408 9781475771466 1475771460 9781475771480 1475771487
OCLC Number: 53802608
Description: 1 online resource (ix, 292 pages).
Contents: Cover --
Preface --
Table of Contents --
List of Figures --
1. Pricing by Arbitrage --
2. Martingale Measures --
3. The Fundamental Theorem of Asset Pricing --
4. Complete Markets and Martingale Representation --
5. Stopping Times and American Options --
6. A Review of Continuous-Time Stochastic Calculus --
7. European Options in Continuous Time --
8. The American Option --
9. Bonds and Term Structure --
10. Consumption-Investment Strategies --
References.
Series Title: Springer finance.
Responsibility: Robert J. Elliott and P. Ekkehard Kopp.

Abstract:

Mathematical finance is one of the most active areas of research, involving researchers from finance, mathematics, and statistics. This book presents an intermediate-level introduction to this  Read more...

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