Prices in Financial Markets

Prices in Financial Markets

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This textbook on financial markets has two purposes: one is to introduce students to the latest theory of financial markets, and the other is to explain the advanced mathematics that is the language of this theory. It requires students to have a familiarity with the elementary ideas of ordinary calculus, linear algebra, probability, and microeconomics. The theory in the book is the basis for some very successful applications to a large and growing segment of financial markets: futures markets in commodities, interest rates, and stock indexes; and the options markets in the same more

Product details

  • Hardback | 360 pages
  • 162 x 238 x 32mm | 662.24g
  • Oxford University Press Inc
  • New York, United States
  • English
  • line figures
  • 0195053125
  • 9780195053128
  • 1,656,406

Table of contents

Introduction to models of financial markets; One-period equilibrium price measures; A discrete multi-period model; Multi-period equilibrium price measures; Discrete stochastic calculus; Extensions of the discrete multi-period model; The Wiener process; Ito Calculus; The Black-Scholes model; Local martingales and semimartingales; General stochastic calculus; A continuous multi-period modelshow more

Review quote

'The great strengths of the book are its logical development of very sophisticated concepts and the examples and exercises. Each major definition and theorem is followed by a simple example. This makes the early chapters on the discrete model, in particular, very useful for teaching at the PhD level.' Richard Stapleton, University of Lancster, Economica, 2/92show more