Mathematical finance is one of the most active areas of research, involving researchers from finance, mathematics, and statistics. This book presents an intermediate-level introduction to this important area.

Klappentext

This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

Inhalt

Pricing by Arbitrage Martingale Measures The Fundamental Theorem of Asset Pricing Complete Markets and Martingale Representation Stopping Times and American Options A Review of Continuous Time Stochastic Calculus European Options in Continuous Time The American Option Bonds and Term Structure Consumption-Investment Strategies