This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
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This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
Imprint | Springer-Verlag New York |
Country of origin | United States |
Series | Springer Finance |
Release date | November 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2005 |
Authors | Robert J Elliott, P.Ekkehard Kopp |
Dimensions | 235 x 155 x 19mm (L x W x T) |
Format | Paperback |
Pages | 354 |
Edition | Softcover reprint of hardcover 2nd ed. 2005 |
ISBN-13 | 978-1-4419-1942-7 |
Barcode | 9781441919427 |
Categories | |
LSN | 1-4419-1942-2 |