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Mathematics of financial markets

The past five years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the reader's background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible.

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  • "金融市场数学"
  • "Jin rong shi chang shu xue"

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  • "The past five years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the reader's background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible."@en
  • ""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."--Résumé de l'éditeur."
  • ""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.""
  • "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 is on developing the mathematical concepts re℗Ư quired for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or 'exotic') financial instru℗Ư ments that now appear on the derivatives markets; the focus throughout remains on a rigorous development of the more basic options that lie at the heart of the remarkable range of current applications of martingale theory to financial markets. The first five chapters present the theory in a discrete-time framework. Stochastic calculus is not required, and this material should be accessible to anyone familiar with elementary probability theory and linear algebra. The basic idea of pricing by arbitrage (or, rather, by nonarbitrage) is presented in Chapter 1. The unique price for a European option in a single℗Ư period binomial model is given and then extended to multi-period binomial models. Chapter 2 intro duces the idea of a martingale measure for price pro℗Ư cesses. Following a discussion of the use of self-financing trading strategies to hedge against trading risk, it is shown how options can be priced using an equivalent measure for which the discounted price process is a mar℗Ư tingale."@en

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  • "Handboeken (vorm)"
  • "Livre électronique (Descripteur de forme)"
  • "Statistics"
  • "Electronic resource"@en
  • "Electronic books"
  • "Electronic books"@en
  • "Llibres electrònics"
  • "Livres électroniques"
  • "Ressource Internet (Descripteur de forme)"

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  • "Mathematics of financial markets"@en
  • "Mathematics of financial markets"
  • "Mathematics of Financial Markets"@en
  • "Mathematics of Financial Markets"

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