The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.

*"synopsis" may belong to another edition of this title.*

"The text is clearly written and well-arranged and most of the results are proved in detail. Each chapter is completed with exercises, which makes the textbook very comprehensive." -- --EMS Newsletter

This monograph gives a far-reaching and easily readable advanced introduction to the mathematical modelling of the absence of riskless financial profits, as well as to the connected topic of pricing and risk-protecting-replication/hedging of securities whose value depend on an underlying asset. ...The book's style is pragmatic, precise, concise, with smoothly and fast increasing technical level including the quotation of mathematical subtleties. --Wolfgang Stummer

*"About this title" may belong to another edition of this title.*

US$ 56.90

**Shipping:**
FREE

From United Kingdom to U.S.A.

Published by
American Mathematical Society, United States
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, United States, 2006. Hardback. Condition: New. illustrated Edition. Language: English . Brand New Book. The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting.Tools from probability such as conditional expectation, filtration, (super) martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions. Seller Inventory # AAN9780821839034

Published by
American Mathematical Society
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, 2006. Hardcover. Condition: New. Seller Inventory # DADAX0821839039

Published by
American Mathematical Society, United States
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, United States, 2006. Hardback. Condition: New. illustrated Edition. Language: English . Brand New Book. The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting.Tools from probability such as conditional expectation, filtration, (super) martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions. Seller Inventory # AAN9780821839034

Published by
American Mathematical Society
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, 2006. Condition: New. book. Seller Inventory # M0821839039

Published by
Amer Mathematical Society
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **Amer Mathematical Society, 2006. Hardcover. Condition: Brand New. illustrated edition. 150 pages. 10.00x7.00x0.50 inches. In Stock. Seller Inventory # __0821839039

Published by
American Mathematical Society
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 2

Seller:

Rating

**Book Description **American Mathematical Society, 2006. Hardcover. Condition: New. Never used!. Seller Inventory # P110821839039

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Quantity Available: 1

Seller:

Rating

**Book Description **Condition: New. New. Seller Inventory # S-0821839039

Published by
American Mathematical Society

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society. Hardcover. Condition: New. 0821839039 New Condition. Seller Inventory # NEW7.0420850

Published by
American Mathematical Society
(2006)

ISBN 10: 0821839039
ISBN 13: 9780821839034

New
Hardcover
Quantity Available: 1

Seller:

Rating

**Book Description **American Mathematical Society, 2006. Hardcover. Condition: New. Ships with Tracking Number! INTERNATIONAL WORLDWIDE Shipping available. Buy with confidence, excellent customer service!. Seller Inventory # 0821839039n