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 : Imprint: Springer, 1999.
• Series: Springer Finance,
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Statistics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistics, general.

This work is aimed at an audience with asound mathematical background wishing to leam about the rapidly expanding field of mathematical finance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and prob ability. The emphasis throughout...

Table of Contents:

• 1 Pricing by Arbitrage
• 2 Martingale Measures
• 3 The Fundamental Theorem of Asset Pricing
• 4 Complete Markets and Martingale Representation
• 5 Stopping Times and American Options
• 6 A Review of Continuous-Time Stochastic Calculus
• 7 European Options in Continuous Time
• 8 The American Option
• 9 Bonds and Term Structure
• 10 Consumption-Investment Strategies
• References.