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008			150903s2005 xxu| o |||| 0|eng d
020			_a9780387226408 _9978-0-387-22640-8
024	7		_a10.1007/b97681 _2doi
035			_avtls000329808
039		9	_a201509030441 _bVLOAD _c201405070518 _dVLOAD _c201401311319 _dstaff _c201401311144 _dstaff _y201401291440 _zstaff _wmsplit0.mrc _x230
050		4	_aHB135-147
100	1		_aElliott, Robert J. _eautor _9300079
245	1	0	_aMathematics of Financial Markets / _cby Robert J. Elliott, P. Ekkehard Koppáginas,
250			_aSecond edition.
264		1	_aNew York, NY : _bSpringer New York, _c2005.
300			_aXI, 352 páginas, 7 illus. _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aPricing by Arbitrage -- Martingale Measures -- The First Fundamental Theorem -- Complete Markets -- Discrete-time American Options -- Continuous-Time Stochastic Calculus -- Continuous-Time European Options -- The American Put Option -- Bonds and Term Structure -- Consumption-Investment Strategies -- Measures of Risk.
520			_aThis book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern financial markets. The idealized continuous-time models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory, which includes a detailed analysis of the Black-Scholes model and its generalizations, American put options, term structure models and consumption-investment problems. The mathematics of martingales and stochastic calculus is developed where it is needed. The new edition adds substantial material from current areas of active research, notably: a new chapter on coherent risk measures, with applications to hedging a complete proof of the first fundamental theorem of asset pricing for general discrete market models the arbitrage interval for incomplete discrete-time markets characterization of complete discrete-time markets, using extended models risk and return and sensitivity analysis for the Black-Scholes model The treatment remains careful and detailed rather than comprehensive, with a clear focus on options. From here the reader can progress to the current research literature and the use of similar methods for more exotic financial instruments. The text should prove useful to graduates with a sound mathematical background, ideally a knowledge of elementary concepts from measure-theoretic probability, who wish to understand the mathematical models on which the bewildering multitude of current financial instruments used in derivative markets and credit institutions is based. The first edition has been used successfully in a wide range of Master’s programs in mathematical finance and this new edition should prove even more popular in this expanding market. It should equally be useful to risk managers and practitioners looking to master the mathematical tools needed for modern pricing and hedging techniques. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary, having held positions in mathematics at the University of Alberta, Hull, Oxford, Warwick, and Northwestern. He is the author of over 300 research papers and several books, including Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and, with Lakhdar Aggoun, Measure Theory and Filtering: Theory and Applications. He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications and the Canadian Applied Mathematics Quarterly. P. Ekkehard Kopp is Professor of Mathematics, and a former Pro-Vice-Chancellor, at the University of Hull. He is the author of Martingales and Stochastic Integrals, Analysis and, with Marek Capinski, of Measure, Integral and Probability. He is a member of the Editorial Board of Springer Finance.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aKopp, P. Ekkehard. _eautor _9300080
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9780387212920
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/b97681 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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