Mathematics of Financial Markets

• Main Authors: Elliott, Robert J. (Author), Kopp, P. Ekkehard (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2005.
• Edition: Second edition.
• Series: Springer Finance
• Subjects: Mathematics.; Measure theory.; Economics, Mathematical.; Probabilities.; Statistics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Probability Theory and Stochastic Processes.; Measure and Integration.

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 stoc...

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.