Mathematics of Financial Markets - Couverture rigide

Elliott, Robert J.; Kopp, P.Ekkehard

Couverture rigide

ISBN 10 : 0387985530 ISBN 13 : 9780387985534

Editeur : Springer-Verlag New York Inc., 1998

Synopsis

The past five years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the reader's background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible.

A propos du livre

Présentation de l'éditeur

This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

Détails de l'édition

• Éditeur: Springer-Verlag New York Inc.
• Date d'édition: 1998
• Langue: anglais
• ISBN 10: 0387985530
• ISBN 13: 9780387985534
• Reliure: Relié
• Nombre de pages: 303
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne