Prices in Financial Markets [Hardcover]

Michael U. Dothan (Author)

Book Description

ISBN-10: 0195053125 | ISBN-13: 978-0195053128 | Publication Date: April 12, 1990

This book offers a unified treatment of selected topics in the theory of financial markets. Starting with discrete time models, Dothan introduces discrete time stochastic calculus and discrete martingale methods of intuitive simplicity to characterize attainability, completeness, pricing, and the relationship between risk and return in financial markets. Subsequently, he uses the intuition developed in conjunction with the discrete time theory to introduce continuous time calculus for continuous, jump, and mixed continuous-jump processes, and to deal with attainability, completeness, pricing, and the relationship between risk and return in general continuous time models. Throughout, the exposition of the continuous time theory emphasizes the analogies between discrete time and continuous time methods and results. The book includes many examples, applications to the pricing of options and other derivative securities, and an extensive discussion of the Black-Scholes model and its most general theoretical extension.

Editorial Reviews

Review

"This book is lucid....The author should be highly commended for his efforts.....A very good introduction to the modern theory of financial markets. I will certainly recommend it very highly to students and researchers of modern financial economics."--The Journal of Finance

"This books provides a 'unified treatment of selected topics in the theory of financial markets' and an 'introduction to the mathematics of this theory'....A useful supplement to existing texts for teaching basic concepts of information structures, budget sets, arbitrage, etc."--The Review of Financial Studies

"Well done!"--Darrell Duffie, Stanford University

"A good survey of financial markets, quite exhaustive, with some new results. A clear presentation of probabilistic tools is given. The book is in an agreeable format and very pleasant to read." --Mathematical Reviews

About the Author

Michael U. Dothan is at University of Minnesota.

Product Details

• Hardcover: 360 pages
• Publisher: Oxford University Press, USA (April 12, 1990)
• Language: English
• ISBN-10: 0195053125
• ISBN-13: 978-0195053128
• Product Dimensions: 9.4 x 6.4 x 1.3 inches
• Shipping Weight: 1.5 pounds (View shipping rates and policies)
• Average Customer Review: 4.3 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #1,693,661 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

0 of 2 people found the following review helpful:

5.0 out of 5 stars Comprehensive and well-organized book, February 10, 2007

By 

Ed Tan "Ed Tan" (New York, NY) - See all my reviews

This review is from: Prices in Financial Markets (Hardcover)

This book is very well organized and comprehensive. It presents financial theory using rigorous mathematical analysis in a systematic fashion. I think this book can be a great complementary book to Cochrane's Asset Pricing book.

1 of 4 people found the following review helpful:

4.0 out of 5 stars Very goo book, December 24, 2001

By 

MR M Mwenze (London United Kingdom) - See all my reviews

This review is from: Prices in Financial Markets (Hardcover)

Excellent book. The only drawback is that there is no coverage of binary options.

1 of 7 people found the following review helpful:

4.0 out of 5 stars Mathematics of derivatives, April 29, 2000

By 

"sriramv" - See all my reviews

This review is from: Prices in Financial Markets (Hardcover)

This book provides students of graduate and doctral programmes in financial mathematics thorough understanding of the mathematics underlying financial markets. This book complements other books on continuous time finance, Hull book on derivatives, etc.