TY  - GEN
AU  - Elliott, Robert J
AU  - Kopp, P. E
TI  - Mathematics of Financial Markets
SN  - 9781441919427
U1  - 332.60151 ELL 
PY  - 2005///
CY  - New York
PB  - Springer
KW  - Investments-Mathematics
KW  - Stochastic Analysis
KW  - Options (Finance)-Mathematical Models
N2  - 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
ER  -