This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or 'exotic') ?nancial - struments that now appear on the ...
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This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or 'exotic') ?nancial - struments that now appear on the derivatives markets; the focus throu- out 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 ?nancial markets. The ?rst ?ve 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 non-arbitrage) is presented in Chapter 1. The unique price for a European option in a single-period binomial model is given and then extended to multi-period binomial models. Chapter 2 introduces the idea of a martingale measure for price processes. Following a discussion of the use of self-?nancing tr- ing strategies to hedge against trading risk, it is shown how options can be priced using an equivalent measure for which the discounted price p- cess is a martingale.
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Edition:
Softcover reprint of hardcover 2nd edition 2005
Publisher:
Springer-Verlag New York Inc.
Published:
2010
Language:
English
Alibris ID:
17986918416
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New. Springer Finance Textbooks ; Springer Finance . XII, 354 p. Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Edition:
Softcover reprint of hardcover 2nd edition 2005
Publisher:
Springer-Verlag New York Inc.
Published:
2010
Language:
English
Alibris ID:
17987014824
Shipping Options:
Standard Shipping: $4.64
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Seller's Description:
Fine. Springer Finance Textbooks ; Springer Finance . XII, 354 p. Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Edition:
Softcover reprint of hardcover 2nd edition 2005
Publisher:
Springer-Verlag New York Inc.
Published:
2010
Language:
English
Alibris ID:
17987768191
Shipping Options:
Standard Shipping: $4.64
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
New. Springer Finance Textbooks ; Springer Finance . XII, 354 p. Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
