Mathematics of Financial Markets
- ISBN-10
- 0387212922
- ISBN-13
- 9780387212920
- Category
- Business & Economics
- Pages
- 356
- Language
- English
- Published
- 2005
- Publisher
- Springer Science & Business Media
- Authors
- Robert J. Elliott, P. Ekkehard Kopp
Description
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
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