Mathematics of Financial Markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
1999
|
| Schriftenreihe: | Springer Finance
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | This work is aimed at an audience with a sound 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 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') financial instruments 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 singleperiod binomial model is given and then extended to multi-period binomial models. Chapter 2 intro duces the idea of a martingale measure for price processes. 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 martingale |
| Beschreibung: | 1 Online-Ressource (XI, 292 p) |
| ISBN: | 9781475771466 9781475771480 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-1-4757-7146-6 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804153095102398464 |
|---|---|
| any_adam_object | |
| author | Elliott, Robert J. |
| author_facet | Elliott, Robert J. |
| author_role | aut |
| author_sort | Elliott, Robert J. |
| author_variant | r j e rj rje |
| building | Verbundindex |
| bvnumber | BV042421717 |
| classification_tum | MAT 000 |
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| dewey-full | 519 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4757-7146-6 |
| format | Electronic eBook |
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| spelling | Elliott, Robert J. Verfasser aut Mathematics of Financial Markets by Robert J. Elliott, P. Ekkehard Kopp New York, NY Springer New York 1999 1 Online-Ressource (XI, 292 p) txt rdacontent c rdamedia cr rdacarrier Springer Finance 1616-0533 This work is aimed at an audience with a sound 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 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') financial instruments 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 singleperiod binomial model is given and then extended to multi-period binomial models. Chapter 2 intro duces the idea of a martingale measure for price processes. 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 martingale Mathematics Finance Distribution (Probability theory) Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics, general Mathematik Statistik Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 s Zinsänderungsrisiko (DE-588)4067851-9 s Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Kapitalmarkt (DE-588)4029578-3 s 3\p DE-604 Kopp, P. Ekkehard Sonstige oth https://doi.org/10.1007/978-1-4757-7146-6 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Elliott, Robert J. Mathematics of Financial Markets Mathematics Finance Distribution (Probability theory) Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics, general Mathematik Statistik Zinsänderungsrisiko (DE-588)4067851-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzinnovation (DE-588)4124975-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4067851-9 (DE-588)4381572-8 (DE-588)4124975-6 (DE-588)4114528-8 (DE-588)4029578-3 (DE-588)4017195-4 (DE-588)4047103-2 |
| title | Mathematics of Financial Markets |
| title_auth | Mathematics of Financial Markets |
| title_exact_search | Mathematics of Financial Markets |
| title_full | Mathematics of Financial Markets by Robert J. Elliott, P. Ekkehard Kopp |
| title_fullStr | Mathematics of Financial Markets by Robert J. Elliott, P. Ekkehard Kopp |
| title_full_unstemmed | Mathematics of Financial Markets by Robert J. Elliott, P. Ekkehard Kopp |
| title_short | Mathematics of Financial Markets |
| title_sort | mathematics of financial markets |
| topic | Mathematics Finance Distribution (Probability theory) Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics, general Mathematik Statistik Zinsänderungsrisiko (DE-588)4067851-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzinnovation (DE-588)4124975-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics, general Mathematik Statistik Zinsänderungsrisiko Derivat Wertpapier Finanzinnovation Mathematisches Modell Kapitalmarkt Finanzmathematik Preisbildung |
| url | https://doi.org/10.1007/978-1-4757-7146-6 |
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