A course in Financial calculus /

This text is designed for first courses in financial calculus aimed at students with a strong background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. La...

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Bibliographic Details
Main Author:	Etheridge, Alison (Author)
Other Authors:	Baxter, Martin, 1968-
Format:	Book
Language:	English
Published:	Cambridge, UK ; New York : Cambridge University Press, 2002.
Subjects:	Derivative securities > Prices > Mathematics. Business mathematics. Instruments dérivés (Finances) > Prix > Mathématiques. Mathématiques financières. Derivat > Wertpapier Finanzmathematik Optionspreistheorie Black-Scholes-Modell Portfolio-theorie. Stochastische processen. Stochastische analyse.
Online Access:	Sample text Table of contents Table of contents E-book Publisher description

Table of Contents:

1. Single period models
2. Binomial trees and discrete parameter martingales
3. Brownian motion
4. Stochastic calculus
5. The Black-Scholes model
6. Different payoffs
7. Bigger models.