Prices in Financial Markets - Couverture rigide

Dothan

Couverture rigide

ISBN 10 : 0195053125 ISBN 13 : 9780195053128

Editeur : Oxford University Press Inc, 1990

Synopsis

This book offers a unified treatment of selected topics in the theory of financial markets. Starting with discrete time models, Dothan introduces discrete time stochastic calculus and discrete martingale methods of intuitive simplicity to characterize attainability, completeness, pricing, and the relationship between risk and return in financial markets. Subsequently, he uses the intuition developed in conjunction with the discrete time theory to introduce continuous time calculus for continuous, jump, and mixed continuous-jump processes, and to deal with attainability, completeness, pricing, and the relationship between risk and return in general continuous time models. Throughout, the exposition of the continuous time theory emphasizes the analogies between discrete time and continuous time methods and results. The book includes many examples, applications to the pricing of options and other derivative securities, and an extensive discussion of the Black-Scholes model and its most general theoretical extension.

A propos du livre

Présentation de l'éditeur

This textbook on financial markets has two purposes: one is to introduce students to the latest theory of financial markets, and the other is to explain the advanced mathematics that is the language of this theory. It requires students to have a familiarity with the elementary ideas of ordinary calculus, linear algebra, probability, and microeconomics. The theory in the book is the basis for some very successful applications to a large and growing segment of financial markets: futures markets in commodities, interest rates, and stock indexes; and the options markets in the same areas.

Revue de presse

'The great strengths of the book are its logical development of very sophisticated concepts and the examples and exercises. Each major definition and theorem is followed by a simple example. This makes the early chapters on the discrete model, in particular, very useful for teaching at the PhD level.' Richard Stapleton, University of Lancster, Economica, 2/92

Détails de l'édition

• Éditeur: Oxford University Press Inc
• Date d'édition: 1990
• Langue: anglais
• ISBN 10: 0195053125
• ISBN 13: 9780195053128
• Reliure: Relié
• Nombre de pages: 360
• Coordonnées du fabricant: non disponible
• Personne responsable: Ufficio Anagrafiche Messaggerie; ufficio.anagrafiche@meli.it; ; Via Verdi, 8; Assago Milano; 20090; Italie