Mathematics of financial markets
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...
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Livre numérique |
| Lenguaje: | Anglais |
| Publicado: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Edición: | Second edition. |
| Colección: | Springer Finance Textbooks
|
| Acceso en línea: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Mathematics of financial markets, Robert J. Elliott and P. Ekkehard Kopp, Second edition, [New York, Springer, 2005, 1 vol. (XI-352 p.), Springer finance, 0-387-21292-2 • Mathematics of Financial Markets, Texte imprimé, 9781441919427 • Partial differential equations, proceedings of ELAM VIII, held in Rio de Janeiro, July 14-25, 1986, F. Cardoso, D.G. de Figueiredo, R. Iório, O. Lopes (eds.), 1988, Berlin, Springer-Verlag, 1 volume (VIII-433 pages), Lecture notes in mathematics, 0-387-50111-8 |
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| 100 | 1 | |a Elliott, Robert James, |d 1940- | |
| 245 | 1 | 0 | |a Mathematics of financial markets |c by Robert J. Elliott, P. Ekkehard Kopp. |
| 250 | |a Second edition. | ||
| 260 | |a New York, NY : |b Springer New York. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Finance Textbooks |x 2945-9125 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 more popular in this expanding market. It should equally be useful to risk managers and practitioners looking to master the mathematical tools needed for modern pricing and hedging techniques. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary, having held positions in mathematics at the University of Alberta, Hull, Oxford, Warwick, and Northwestern. He is the author of over 300 research papers and several books, including Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and, with Lakhdar Aggoun, Measure Theory and Filtering: Theory and Applications. He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications and the Canadian Applied Mathematics Quarterly. P. Ekkehard Kopp is Professor of Mathematics, and a former Pro-Vice-Chancellor, at the University of Hull. He is the author of Martingales and Stochastic Integrals, Analysis and, with Marek Capinski, of Measure, Integral and Probability. He is a member of the Editorial Board of Springer Finance | ||
| 700 | 1 | |a Kopp, Peter Ekkehard, |d 1944- |4 aut | |
| 776 | 0 | |0 105676810 |t Mathematics of financial markets |f Robert J. Elliott and P. Ekkehard Kopp |e Second edition |c [New York |n Springer |d 2005 |p 1 vol. (XI-352 p.) |s Springer finance |z 0-387-21292-2 | |
| 776 | 0 | |t Mathematics of Financial Markets |b Texte imprimé |z 9781441919427 | |
| 776 | 0 | |0 020813287 |t Partial differential equations |o proceedings of ELAM VIII, held in Rio de Janeiro, July 14-25, 1986 |f F. Cardoso, D.G. de Figueiredo, R. Iório, O. Lopes (eds.) |d 1988 |c Berlin |n Springer-Verlag |p 1 volume (VIII-433 pages) |s Lecture notes in mathematics |z 0-387-50111-8 | |
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