Page count: 283 pages
Category: from English
Original price: 2900 Ft
The text should, prove useful to graduates with a sound mathematical background, ideally including a first course on measure-theoretic probability, who wish to understand the mathematical models on which the multitude of current financial instruments used in derivative markets is based. It is well suited to the needs of the rapidly increasing range of quantitatively oriented Master's programmes that provide an entry into this burgeoning field of research and practice, and should equally be useful to risk managers and other practitioners looking for the mathematical tools with which to understand modern pricing and hedging models and their application.
About the Author
Robert J. Elliott is Professor of Mathematics at the University of Alberta, having held positions at Oxford, Warwick, Northwestern, and Hull. He is the author of Stochastic Calculus and Applications and, with Lahkdar Aggoun and John Moore, of Hidden Markov Models. He is an Associate Editor of Mathematical Finance and Finance and Stochastics. P Ekkehard Kopp is Pro-Vice-Chancellor at the University of Hull and has held visiting positions, at the University of Toronto and the University of Alberta. He is the author of Martingales and Stochastic Integrals (CUP) and Analysis (Arnold), and an advisor to the series Springer Finance. He is a former President of the U.K. Association of University Teachers and a current executive member of the U.K. Conference of Heads of Departments of Mathematical Sciences.