Financial Markets (Translations of Mathematical Monographs) [Hardcover]

A. V. Melnikov (Author)

Book Description

Publication Date: April 21, 1999 | ISBN-10: 0821810820 | ISBN-13: 978-0821810828

Financial mathematics is going through a period of intensive development, particularly in the area of stochastic analysis. This timely work presents a comprehensive, self-contained introduction to stochastic financial mathematics. It is based on lectures given at Moscow State University, ``Stochastic Analysis in Finance'', and comprises the basic methods and key results of the theory of derivative securities pricing in discrete financial markets. The following elements: martingales, semimartingales, stochastic exponents, Ito's formula, Girsanov's theorem, and more, are used to characterize notions such as arbitrage and completeness of financial markets, fair price and hedging strategies for options, forward and futures pricing, and utility maximization. Limiting transition from a discrete to continuous model with derivation of the famous Black-Scholes formula is shown. The book contains a wide spectrum of material and can serve as a bridge to continuous models. It is suitable as a text for graduate and advanced graduate students studying economics and/or financial mathematics.

Editorial Reviews

From the Inside Flap

The book provides a rigorous, self-contained and concise introduction to the rapidly developing field of mathematical finance. It may serve very well as a textbook for graduate students in mathematics or finance.
Mathematical Review

Product Details

• Hardcover: 133 pages
• Publisher: American Mathematical Society (April 21, 1999)
• Language: English
• ISBN-10: 0821810820
• ISBN-13: 978-0821810828
• Product Dimensions: 10.2 x 7.2 x 0.5 inches
• Shipping Weight: 15.2 ounces (View shipping rates and policies)
• Amazon Best Sellers Rank: #4,106,104 in Books (See Top 100 in Books)

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