Mathematics of Financial Markets by Robert J Elliott (PDF)

Description

Pricing by Arbitrage * Martingale Measures * The Fundamental Theorem of Asset Pricing * Complete Markets and Martingale Representation * Stopping Times and American Options * A Review of Continuous Time Stochastic Calculus * European Options in Continuous Time * The American Option * Bonds and Term Structure * Consumption-Investment Strategies *

User’s Reviews

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐Very powerful but with a lot of mistakes! It has everything necessary for financial mathematics and a chapter with investment and consumption theory, all quite comprehensive. The mistakes though are rather challenging especially when you are not adequately experienced in Stochastic Calculus. 2 stars because it has too many mistakes for a Springer.

⭐This book provides a speedy but readable and comprehensive approach to financial math. For a slower and more careful approach to the mathematics, especially with regard to local martingales and the construction of the stochastic integral, I recommend Steele. An important warning about the 2nd edition of Elliott and Kopp is that Chapter 7, the longest and most important chapter in the book, which covers continuous time European options and the Greeks, is *rife* with typos: incorrect subscripts, superscripts and signs, mixed up or missing variables in expressions, backwards inequalities, etc. This chapter was clearly not edited carefully, and can be a little frustrating to read.

⭐This book discusses the financial mathematics from the view of martingale approaches. It is good for someone who want to price derivatives by martingale approach. Unfortunately, this book lacks talking about exotic options like average options,lookback options and passport options.

⭐Great book, great service.

⭐Does an excellent job of presenting the mathematics WITH RIGOR. The mathematics is more mature than Bingham & Kiesel, but the book is more accessible and far more readable than the similar texts by Karatzas & Shreve and Musiela & Rutkowski.

⭐auf Kindle nicht vernünftig lesbar (Formeln)

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