Prices in financial markets

Michael U. Dothan

This textbook on financial markets has two purposes: one is to introduce students to the latest theory of financial markets, and the other is to explain the advanced mathematics that is the language of this theory. It requires students to have a familiarity with the elementary ideas of ordinary calculus, linear algebra, probability, and microeconomics. The theory in the book is the basis for some very successful applications to a large and growing segment of financial markets: futures markets in commodities, interest rates, and stock indexes; and the options markets in the same areas.

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[目次]

  • Introduction to models of financial markets
  • One-period equilibrium price measures
  • A discrete multi-period model
  • Multi-period equilibrium price measures
  • Discrete stochastic calculus
  • Extensions of the discrete multi-period model
  • The Wiener process
  • Ito Calculus
  • The Black-Scholes model
  • Local martingales and semimartingales
  • General stochastic calculus
  • A continuous multi-period model

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この本の情報

書名 Prices in financial markets
著作者等 Dothan, Michael U.
出版元 Oxford University Press
刊行年月 1990
ページ数 xv, 342 p.
大きさ 25 cm
ISBN 9780195053128
NCID BA10126508
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言語 英語
出版国 アメリカ合衆国
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