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Mathematics of financial markets / Robert J. Elliott and P. Ekkehard Kopp.
Lippincott Library HG4515.3 .E37 2005
Available
- Format:
- Book
- Author/Creator:
- Elliott, Robert J. (Robert James), 1940-
- Series:
- Springer finance
- Language:
- English
- Subjects (All):
- Investments--Mathematics.
- Investments.
- Stochastic analysis.
- Options (Finance)--Mathematical models.
- Options (Finance).
- Securities--Prices--Mathematical models.
- Securities.
- Physical Description:
- xi, 352 pages : illustrations ; 25 cm.
- Edition:
- Second edition.
- Place of Publication:
- New York : Springer Science + Business Media, [2005]
- Summary:
- Recent years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the readerOs background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible.
- Notes:
- Includes bibliographical references (pages 329-348) and index.
- Local Notes:
- Acquired for the Penn Libraries with assistance from the Hazel M. Hussong Fund.
- ISBN:
- 0387212922
- OCLC:
- 56058331
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