Customer Reviews

Mathematics of Financial Markets

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This book provides a speedy but readable and comprehensive approach to financial math. For a slower and more careful approach to the mathematics, especially with regard to local martingales and the construction of the stochastic integral, I recommend Steele. An important warning about the 2nd edition of Elliott and Kopp is that Chapter 7, the longest and most important chapter in the book, which covers continuous time European options and the Greeks, is *rife* with typos: incorrect subscripts, superscripts and signs, mixed up or missing variables in expressions, backwards inequalities, etc. This chapter was clearly not edited carefully, and can be a little frustrating to read.

This book discusses the financial mathematics from the view of martingale approaches. It is good for someone who want to price derivatives by martingale approach. Unfortunately, this book lacks talking about exotic options like average options,lookback options and passport options.

Does an excellent job of presenting the mathematics WITH RIGOR. The mathematics is more mature than Bingham & Kiesel, but the book is more accessible and far more readable than the similar texts by Karatzas & Shreve and Musiela & Rutkowski.

Prof. Elliot has given another distinguished contribution in financial mathematics. I think that everyone who has the ambition to understand mathematical finance advancely will benefit by this book.