Overview
- Aimed at those who need to understand the mathematics behind the multitude of current financial instruments used in derivative markets, including risk managers and other practitioners
- Begins with the mathematics used in discrete-time models, which can be more simply explained, then moves into the more difficult continuous-time models
- Includes detailed analyses of the famous Black-Scholes theory, American put options, term structure models, and consumption-investment problems
- Provides a clear understanding of pricing and hedging for call and put options
- The mathematics used is accessible
- The mathematics of martingales and stochastic calculus is developed where needed
- The treatment is careful and detailed rather than comprehensive
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
Part of the book sub series: Springer Finance Textbooks (SFTEXT)
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Table of contents (11 chapters)
Reviews
From the reviews:
"...This book is a valuable addition to a graduate student's reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." SIAM Review, December 2005
From the reviews of the second edition:
"The book is very carefully formatted. … this book is a valuable addition to a graduate student’s reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." (Alexandre D’Aspremont, SIAM Reviews, December, 2005)
"The emphasis of the first edition of this book was on developing the mathematical concepts for the rapidly expanding field of mathematical finance. This second edition contains a significant number of changes and additions … . The target audience is readers with sound mathematical background on elementary concepts from measure-theoretic probability … . It should be an equally valuable resource to practitioners interested in the mathematical tools … . will be a very useful addition to any scholarly library." (Theofanis Sapatinas, Journal of Applied Sciences, Vol. 32 (6), 2005)
"The second edition adds new matieral from current active research areas. A new chapter on coherent risk measures for instance reflects the recent trend in research and applications in the area of risk management. In summary, this is an excellent textbook in mathematical finance, and I can definitely recommend it." (S. Peng, Short Book Reviews of the ISI, June 2006)
Authors and Affiliations
Bibliographic Information
Book Title: Mathematics of Financial Markets
Authors: Robert J. Elliott, P. Ekkehard Kopp
Series Title: Springer Finance
DOI: https://doi.org/10.1007/b97681
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag New York 2005
Hardcover ISBN: 978-0-387-21292-0Published: 08 October 2004
Softcover ISBN: 978-1-4419-1942-7Published: 25 November 2010
eBook ISBN: 978-0-387-22640-8Published: 04 October 2005
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 2
Number of Pages: XII, 354
Topics: Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Probability Theory and Stochastic Processes, Measure and Integration