Introduction to the mathematics of finance (Record no. 1681)

000 -LEADER
fixed length control field 01820nam a2200181Ia 4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20240809122948.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 180205s9999 xx 000 0 und d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780821868829
040 ## - CATALOGING SOURCE
Original cataloging agency ICTS-TIFR
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number HF5691
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Williams, J.R.
245 ## - TITLE STATEMENT
Title Introduction to the mathematics of finance
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Name of publisher, distributor, etc. AMS
Date of publication, distribution, etc. 2011
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note <br/>Chapter 1. Financial markets and derivatives<br/>Chapter 2. Binomial model<br/>Chapter 3. Finite market model<br/>Chapter 4. Black-Scholes model<br/>Chapter 5. Multi-dimensional Black-Scholes model<br/>Appendix A. Conditional expectation and Lp<br/>-spaces<br/>Appendix B. Discrete time stochastic processes<br/>Appendix C. Continuous time stochastic processes<br/>Appendix D. Brownian motion and stochastic integration<br/>
520 ## - SUMMARY, ETC.
Summary, etc. 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.
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
Holdings
Withdrawn status Lost status Damaged status Not for loan Collection code Home library Shelving location Date acquired Full call number Accession No. Koha item type
        Commerce ICTS Rack No 01 01/18/2018 HF5691 00944 Book