000			05134nam a22004935i 4500
001			978-0-387-22640-8
003			DE-He213
005			20250710083926.0
007			cr nn 008mamaa
008			100301s2005 xxu| s |||| 0|eng d
020			_a9780387226408 _a99780387226408
024	7		_a10.1007/b97681 _2doi
082	0	4	_a519 _223
100	1		_aElliott, Robert J. _eauthor.
245	1	0	_aMathematics of Financial Markets _h[recurso electrónico] / _cby Robert J. Elliott, P. Ekkehard Kopp.
250			_aSecond edition.
264		1	_aNew York, NY : _bSpringer New York, _c2005.
300			_aXI, 352 p. 7 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aSpringer Finance
505	0		_aPricing by Arbitrage -- Martingale Measures -- The First Fundamental Theorem -- Complete Markets -- Discrete-time American Options -- Continuous-Time Stochastic Calculus -- Continuous-Time European Options -- The American Put Option -- Bonds and Term Structure -- Consumption-Investment Strategies -- Measures of Risk.
520			_aThis book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern financial markets. The idealized continuous-time 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, which includes a detailed analysis of the Black-Scholes model and its generalizations, American put options, term structure models and consumption-investment problems. The mathematics of martingales and stochastic calculus is developed where it is needed. The new edition adds substantial material from current areas of active research, notably: a new chapter on coherent risk measures, with applications to hedging a complete proof of the first fundamental theorem of asset pricing for general discrete market models the arbitrage interval for incomplete discrete-time markets characterization of complete discrete-time markets, using extended models risk and return and sensitivity analysis for the Black-Scholes model The treatment remains careful and detailed rather than comprehensive, with a clear focus on options. From here the reader can progress to the current research literature and the use of similar methods for more exotic financial instruments. The text should prove useful to graduates with a sound mathematical background, ideally a knowledge of elementary concepts from measure-theoretic probability, who wish to understand the mathematical models on which the bewildering multitude of current financial instruments used in derivative markets and credit institutions is based. The first edition has been used successfully in a wide range of Master's programs in mathematical finance and this new edition should prove even more popular in this expanding market. It should equally be useful to risk managers and practitioners looking to master the mathematical tools needed for modern pricing and hedging techniques. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary, having held positions in mathematics at the University of Alberta, Hull, Oxford, Warwick, and Northwestern. He is the author of over 300 research papers and several books, including Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and, with Lakhdar Aggoun, Measure Theory and Filtering: Theory and Applications. He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications and the Canadian Applied Mathematics Quarterly. P. Ekkehard Kopp is Professor of Mathematics, and a former Pro-Vice-Chancellor, at the University of Hull. He is the author of Martingales and Stochastic Integrals, Analysis and, with Marek Capinski, of Measure, Integral and Probability. He is a member of the Editorial Board of Springer Finance.
650		0	_aMATHEMATICS.
650		0	_aFINANCE.
650		0	_aDISTRIBUTION (PROBABILITY THEORY).
650		0	_aECONOMICS _xSTATISTICS.
650	1	4	_aMATHEMATICS.
650	2	4	_aQUANTITATIVE FINANCE.
650	2	4	_aSTATISTICS FOR BUSINESS/ECONOMICS/MATHEMATICAL FINANCE/INSURANCE.
650	2	4	_aPROBABILITY THEORY AND STOCHASTIC PROCESSES.
650	2	4	_aMEASURE AND INTEGRATION.
700	1		_aKopp, P. Ekkehard. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780387212920
830		0	_aSpringer Finance
856	4	0	_uhttp://dx.doi.org/10.1007/b97681 _zVer el texto completo en las instalaciones del CICY
912			_aZDB-2-SMA
942			_2ddc _cER
999			_c56096 _d56096