
Financial Mathematics
Description
Key Features
- Calculations of Lower and upper prices, featuring practical examples
- The simplest functional limit theorem proved for transition from discrete to continuous time
- Learn how to optimize portfolio in the presence of risk factors
Readership
Table of Contents
Chapter 1. Financial Markets with Discrete Time
1.1. General description of a market model with discrete time
1.2. Arbitrage opportunities, martingale measures and martingale
1.3. Contingent claims: complete and incomplete markets
1.4. The Cox–Ross–Rubinstein approach to option pricing
1.5. The sequence of the discrete-time markets as an intermediate
1.6. American contingent claims
Chapter 2. Financial Markets with Continuous Time
2.1. Transition from discrete to continuous time
2.2. Black–Scholes formula for the arbitrage-free price of the
2.3. Arbitrage theory for the financial markets with continuous time
2.4. American contingent claims in continuous time
2.5. Exotic derivatives in the model with continuous time
Product details
- No. of pages: 194
- Language: English
- Copyright: © ISTE Press - Elsevier 2016
- Published: January 25, 2016
- Imprint: ISTE Press - Elsevier
- eBook ISBN: 9780081004883
- Hardcover ISBN: 9781785480461