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ISBN: 9781441919427

ID: 2fc14fc62a73805a8e5075c4ffca56ca

Mathematics of Financial Markets This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or exotic) ?nancial - struments that now appear on the derivatives markets; the focus throu- out remains on a rigorous development of the more basic options that lie at the heart of the remarkable range of current applications of martingale theory to ?nancial markets. The ?rst ?ve chapters present the theory in a discrete-time framework. Stochastic calculus is not required, and this material should be accessible to anyone familiar with elementary probability theory and linear algebra. The basic idea of pricing by arbitrage (or, rather, by non-arbitrage) is presented in Chapter 1. The unique price for a European option in a single-period binomial model is given and then extended to multi-period binomial models. Chapter 2 introduces the idea of a martingale measure for price processes. Following a discussion of the use of self-?nancing tr- ing strategies to hedge against trading risk, it is shown how options can be priced using an equivalent measure for which the discounted price p- cess is a martingale. Bücher / Fremdsprachige Bücher / Englische Bücher 978-1-4419-1942-7, Springer

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ISBN: 9781441919427

ID: 664454556

This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or exotic) ?nancial - struments that now appear on the derivatives markets; the focus throu- out remains on a rigorous development of the more basic options that lie at the heart of the remarkable range of current applications of martingale theory to ?nancial markets. The ?rst ?ve chapters present the theory in a discrete-time framework. Stochastic calculus is not required, and this material should be accessible to anyone familiar with elementary probability theory and linear algebra. The basic idea of pricing by arbitrage (or, rather, by non-arbitrage) is presented in Chapter 1. The unique price for a European option in a single-period binomial model is given and then extended to multi-period binomial models. Chapter 2 introduces the idea of a martingale measure for price processes. Following a discussion of the use of self-?nancing tr- ing strategies to hedge against trading risk, it is shown how options can be priced using an equivalent measure for which the discounted price p- cess is a martingale. Mathematics of Financial Markets Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Springer

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ISBN: 9781441919427

ID: 11127516

Recent 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 readerOs 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. Mathematics of Financial Markets Elliott, Robert J. / Kopp, P. Ekkehard, Springer

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ISBN: 9781441919427

ID: 9781441919427

Mathematics; Quantitative Finance; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Measure and Integration Black-Scholes, Markov model, Martingale, Probability theory, Stochastic calculus, calculus, measure theory, stochastics Books Book (Paperback Initiative), Springer Science+Business Media

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2005, ISBN: 9781441919427

ID: 698617686

Softcover reprint of hardcover 2nd ed. 2005. Softcover reprint of hardcover 2nd ed. 2005. Bücher > Wissenschaft > Wirtschaftswissenschaft, [PU: Springer]

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Title: | ## Mathematics of Financial Markets (Springer Finance) |

ISBN: |

** Details of the book - Mathematics of Financial Markets (Springer Finance)**

EAN (ISBN-13): 9781441919427

ISBN (ISBN-10): 1441919422

Hardcover

Paperback

Publishing year: 2010

Publisher: Springer-Verlag GmbH

368 Pages

Weight: 0,546 kg

Language: eng/Englisch

Book in our database since 03.03.2010 14:06:26

Book found last time on 12.04.2017 15:48:23

ISBN/EAN: 9781441919427

ISBN - alternate spelling:

1-4419-1942-2, 978-1-4419-1942-7

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