Product Description

Recent years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the readerOs background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible.

Product Details

• Amazon Sales Rank: #1019109 in Books
• Published on: 2004-10-08
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 352 pages

Review

From the reviews:

"...This book is a valuable addition to a graduate student's reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." SIAM Review, December 2005

From the reviews of the second edition:

"The book is very carefully formatted. … this book is a valuable addition to a graduate student’s reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd." (Alexandre D’Aspremont, SIAM Reviews, December, 2005)

"The emphasis of the first edition of this book was on developing the mathematical concepts for the rapidly expanding field of mathematical finance. This second edition contains a significant number of changes and additions … . The target audience is readers with sound mathematical background on elementary concepts from measure-theoretic probability … . It should be an equally valuable resource to practitioners interested in the mathematical tools … . will be a very useful addition to any scholarly library." (Theofanis Sapatinas, Journal of Applied Sciences, Vol. 32 (6), 2005)

"The second edition adds new matieral from current active research areas. A new chapter on coherent risk measures for instance reflects the recent trend in research and applications in the area of risk management. In summary, this is an excellent textbook in mathematical finance, and I can definitely recommend it." (S. Peng, Short Book Reviews of the ISI, June 2006)

Customer Reviews

Be careful of typos!
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.

A good textbook of mathematics required for financial markets
Prof. Elliot has given another distinguished contribution in financial mathematics. I think that everyone who has the ambition to understand mathematical finance advancely will benefit by this book.

A Good book for Martingale approach
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.