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Financial Markets: Stochastic Analysis and the Pricing of Derivative Securities
About this Title
A. V. Mel′nikov, Steklov Mathematical Institute, Moscow, Russia. Translated by H. H. McFaden
Publication: Translations of Mathematical Monographs
Publication Year:
1999; Volume 184
ISBNs: 978-0-8218-1082-8 (print); 978-1-4704-4598-0 (online)
DOI: https://doi.org/10.1090/mmono/184
MathSciNet review: MR1687479
MSC: Primary 91B28; Secondary 60G42
ReadershipTable of Contents
Front/Back Matter
Chapters
- Basic concepts and objects of a financial market
- The elements of discrete stochastic analysis
- A stochastic model for a financial market. Arbitrage and completeness
- Pricing European options in complete markets. The binomial model and the Cox-Ross-Rubinstein formula
- Pricing and hedging American options in complete markets
- Financial computations on a complete market with the use of nonself-financing strategies
- Incomplete markets. Pricing of options and problems of minimizing risk
- The structure of prices of other instruments of a financial market. Forwards, futures, bonds
- The problem of optimal investment
- The concept of continuous models. Limiting transitions from a discrete market to a continuous one. The Black-Scholes formula
- Appendix 1
- Appendix 2
- Appendix 3