Martingales and financial mathematics in discrete time / Benoite de Saporta, Mounir Zili.

Format:

Book

Author/Creator:

Saporta, Benoîte de, author.

Zili, Mounir, author.

Language:

English

Subjects (All):

Martingales (Mathematics).

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (233 pages)

Edition:

1st edition.

Place of Publication:

Wiley 2021

Summary:

This book is entirely devoted to discrete time and provides a detailed introduction to the construction of the rigorous mathematical tools required for the evaluation of options in financial markets. Both theoretical and practical aspects are explored through multiple examples and exercises, for which complete solutions are provided. Particular attention is paid to the Cox, Ross and Rubinstein model in discrete time. The book offers a combination of mathematical teaching and numerous exercises for wide appeal. It is a useful reference for students at the master's or doctoral level who are specializing in applied mathematics or finance as well as teachers, researchers in the field of economics or actuarial science, or professionals working in the various financial sectors. Martingales and Financial Mathematics in Discrete Time is also for anyone who may be interested in a rigorous and accessible mathematical construction of the tools and concepts used in financial mathematics, or in the application of the martingale theory in finance.

Contents:

Half-Title Page Introduction Chapter 1. Elementary Probabilities and an Introduction to Stochastic Processes Chapter 2. Conditional Expectation Chapter 3. Random Walks Chapter 4. Martingales Chapter 5. Financial Markets Chapter 6. European Options Chapter 7. American Options Chapter 8. Solutions to Exercises and Practical Work Other titles from iSTE in Mathematics and Statistics EULA

Notes:

Includes bibliographical references and index.

Description based on print version record.

Other Format:

Print version: de Saporta, Benote Martingales and Financial Mathematics in Discrete Time

ISBN:

9781119885023

1119885027

9781119885030

1119885035

9781119885016

1119885019

OCLC:

1292353831