| Description |
1 online resource (xi, 352 pages) : illustrations |
| Series |
Springer finance |
|
Springer finance.
|
| Contents |
Pricing by Arbitrage -- Martingale Measures -- The First Fundamental Theorem -- Complete Markets -- Stopping Times and American Options -- Continous-Time Stochastic Calculus -- European Options in Continuous Time -- The American Put Option -- Bonds and Term Structure -- Consumption-Investment Strategies -- Measures of Risk |
| Summary |
"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 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."--Jacket |
| Bibliography |
Includes bibliographical references (pages 329-348) and index |
| In |
OhioLINK electronic book center |
|
SpringerLink |
| Subject |
Investments -- Mathematics.
|
|
Stochastic analysis.
|
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Options (Finance) -- Mathematical models
|
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Securities -- Prices -- Mathematical models
|
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Inversiones -- Matemáticas
|
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Análisis estocástico
|
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Investments -- Mathematics
|
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Options (Finance) -- Mathematical models
|
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Securities -- Prices -- Mathematical models
|
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Stochastic analysis
|
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Mathematisches Modell
|
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Finanzmathematik
|
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Preisbildung
|
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Finanzinnovation
|
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Derivat Wertpapier
|
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Derivat.
|
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Investeringen.
|
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Stochastische analyse.
|
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Opties.
|
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Wiskundige modellen.
|
|
Effecten.
|
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Marché financier.
|
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Option (Finances)
|
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Modèle mathématique.
|
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Valeur mobilière.
|
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Mathématique financière.
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Placement financier.
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Cours du marché
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Analyse stochastique.
|
| Form |
Electronic book
|
| Author |
Kopp, P. E., 1944-
|
| ISBN |
0387212922 |
|
9780387212920 |
|
9780387226408 |
|
0387226400 |
|
661133422X |
|
9786611334222 |
|
