Mathematics of Financial Markets
Elliott, Robert J
Mathematics of Financial Markets - 2 - New York Springer 2005 - 352 - Springer Finance .
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 modem stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory, which includes a detailed analysis of the Black-Scholes model and its generalizations, American put options, term structure models and consumption-investment problems. The mathematics of martingales and stochastic calculus is devel oped where it is needed.
9781441919427
Investments-Mathematics.
Stochastic Analysis
Options (Finance)-Mathematical Models
332.60151 ELL
Mathematics of Financial Markets - 2 - New York Springer 2005 - 352 - Springer Finance .
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 modem stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory, which includes a detailed analysis of the Black-Scholes model and its generalizations, American put options, term structure models and consumption-investment problems. The mathematics of martingales and stochastic calculus is devel oped where it is needed.
9781441919427
Investments-Mathematics.
Stochastic Analysis
Options (Finance)-Mathematical Models
332.60151 ELL
