Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

From Measures to Itô Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Itô integrals and a brief look at martingale calculus. Modern probability theory and the applications of stochastic processes rely heavily on an understanding of basic measure theory. This text is ideal preparation for graduate-level courses in mathematical finance and perfect for any reader seeking a basic understanding of the mathematics underpinning the various applications of Itô calculus.

Measure theory --- Lebesgue measure --- Measurable sets --- Measure of a set --- Algebraic topology --- Integrals, Generalized --- Measure algebras --- Rings (Algebra)

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the French school of probabilists, but is more elementary than other texts. The presentation is abstract, but largely self-contained and Dr Kopp makes fewer demands on the reader's background in probability theory than is usual. He gives a fairly full discussion of the measure theory and functional analysis needed for martingale theory, and describes the role of Brownian motion and the Poisson process as paradigm examples in the construction of abstract stochastic integrals. An appendix provides the reader with a glimpse of very recent developments in non-commutative integration theory which are of considerable importance in quantum mechanics. Thus equipped, the reader will have the necessary background to understand research in stochastic analysis. As a textbook, this account will be ideally suited to beginning graduate students in probability theory, and indeed it has evolved from such courses given at Hull University. It should also be of interest to pure mathematicians looking for a careful, yet concise introduction to martingale theory, and to physicists, engineers and economists who are finding that applications to their disciplines are becoming increasingly important.

Martingales (Mathematics) --- Stochastic integrals.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. Relatively elementary mathematics leads to powerful notions and techniques - such as viability, completeness, self-financing and replicating strategies, arbitrage and equivalent martingale measures - which are directly applicable in practice. The general methods are applied in detail to pricing and hedging European and American options within the Cox-Ross-Rubinstein (CRR) binomial tree model. A simple approach to discrete interest rate models is included, which, though elementary, has some novel features. All proofs are written in a user-friendly manner, with each step carefully explained and following a natural flow of thought. In this way the student learns how to tackle new problems.

Finance --- Interest rates --- Mathematical models --- E-books --- Mathematical models. --- Mathematical Sciences --- Probability

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

"Making up Numbers: A History of Invention in Mathematics offers a detailed but accessible account of a wide range of mathematical ideas. Starting with elementary concepts, it leads the reader towards aspects of current mathematical research.The book explains how conceptual hurdles in the development of numbers and number systems were overcome in the course of history, from Babylon to Classical Greece, from the Middle Ages to the Renaissance, and so to the nineteenth and twentieth centuries. The narrative moves from the Pythagorean insistence on positive multiples to the gradual acceptance of negative numbers, irrationals and complex numbers as essential tools in quantitative analysis.Within this chronological framework, chapters are organised thematically, covering a variety of topics and contexts: writing and solving equations, geometric construction, coordinates and complex numbers, perceptions of ‘infinity’ and its permissible uses in mathematics, number systems, and evolving views of the role of axioms.Through this approach, the author demonstrates that changes in our understanding of numbers have often relied on the breaking of long-held conventions to make way for new inventions at once providing greater clarity and widening mathematical horizons. Viewed from this historical perspective, mathematical abstraction emerges as neither mysterious nor immutable, but as a contingent, developing human activity.Making up Numbers will be of great interest to undergraduate and A-level students of mathematics, as well as secondary school teachers of the subject. In virtue of its detailed treatment of mathematical ideas, it will be of value to anyone seeking to learn more about the development of the subject."

Mathematics --- Inventions --- History. --- Mathematical models. --- Creative ability in technology --- Prior art (Patent law) --- Research, Industrial --- Math --- Science --- mathematical ideas --- development of numbers --- development number systems --- negative numbers --- irrationals numbers --- complex numbers

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This 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.

Investments --- Stochastic analysis. --- Options (Finance) --- Securities --- Mathematics. --- Mathematical models. --- Prices