Mathematics of Financial Markets
- ISBN-10
- 1475771460
- ISBN-13
- 9781475771466
- Category
- Mathematics
- Pages
- 292
- Language
- English
- Published
- 2013-11-11
- Publisher
- Springer Science & Business Media
- Authors
- Robert J Elliott, P. Ekkehard Kopp
Description
This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. 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.
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