rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Mathematics of Financial Markets
  name:
    name part: Elliott, Robert J.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Kopp, P. Ekkehard.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxu
    date issued: 2005
    edition: Second edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XII, 354 p. online resource.
  abstract: 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 modern 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 developed where it is needed. The new edition adds substantial material from current areas of active research, notably: a new chapter on coherent risk measures, with applications to hedging a complete proof of the first fundamental theorem of asset pricing for general discrete market models the arbitrage interval for incomplete discrete-time markets characterization of complete discrete-time markets, using extended models risk and return and sensitivity analysis for the Black-Scholes model The treatment remains careful and detailed rather than comprehensive, with a clear focus on options. From here the reader can progress to the current research literature and the use of similar methods for more exotic financial instruments. The text should prove useful to graduates with a sound mathematical background, ideally a knowledge of elementary concepts from measure-theoretic probability, who wish to understand the mathematical models on which the bewildering multitude of current financial instruments used in derivative markets and credit institutions is based. The first edition has been used successfully in a wide range of Master’s programs in mathematical finance and this new edition should prove even…
  table of contents: Pricing by Arbitrage -- Martingale Measures -- The First Fundamental Theorem -- Complete Markets -- Discrete-time American Options -- Continuous-Time Stochastic Calculus -- Continuous-Time European Options -- The American Put Option -- Bonds and Term Structure -- Consumption-Investment Strategies -- Measures of Risk.
  note: by Robert J. Elliott, P. Ekkehard Kopp.
  subject:
    topic: Mathematics
  subject:
    topic: Measure theory
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Statistics
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Measure and Integration
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Finance
  identifier: 9780387226408
  identifier: http://dx.doi.org/10.1007/b97681
  record info:
    record creation date: 100301
    record change date: 20151204183517.0
    record identifier: 978-0-387-22640-8