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...