Items related to Introduction to the Mathematics of Finance (Graduate...

Introduction to the Mathematics of Finance (Graduate Studies in Mathematics) - Hardcover

 
9780821839034: Introduction to the Mathematics of Finance (Graduate Studies in Mathematics)

Synopsis

The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting.Tools from probability such as conditional expectation, filtration, (super) martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.

"synopsis" may belong to another edition of this title.

  • PublisherAmerican Mathematical Society
  • Publication date2006
  • ISBN 10 0821839039
  • ISBN 13 9780821839034
  • BindingHardcover
  • LanguageEnglish
  • Number of pages150

Buy Used

Condition: Good
Good
View this item

£ 9 shipping within United Kingdom

Destination, rates & speeds

Search results for Introduction to the Mathematics of Finance (Graduate...

Stock Image

R. J. Williams
Published by American Mathematical Society, 2006
ISBN 10: 0821839039 ISBN 13: 9780821839034
Used Hardcover

Seller: dsmbooks, Liverpool, United Kingdom

Seller rating 4 out of 5 stars 4-star rating, Learn more about seller ratings

hardcover. Condition: Good. Good. book. Seller Inventory # D8S0-3-M-0821839039-6

Contact seller

Buy Used

£ 181.07
Convert currency
Shipping: £ 9
Within United Kingdom
Destination, rates & speeds

Quantity: 1 available

Add to basket