Prices in Financial Markets

Prices in Financial Markets
Author :
Publisher :
Total Pages : 368
Release :
ISBN-10 : UCSC:32106009455418
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Prices in Financial Markets by : Michael U. Dothan

Download or read book Prices in Financial Markets written by Michael U. Dothan and published by . This book was released on 1990 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a unified treatment of selected topics in the theory of financial markets. Starting with discrete time models, Dothan introduces discrete time stochastic calculus and discrete martingale methods of intuitive simplicity to characterize attainability, completeness, pricing, and the relationship between risk and return in financial markets. Subsequently, he uses the intuition developed in conjunction with the discrete time theory to introduce continuous time calculus for continuous, jump, and mixed continuous-jump processes, and to deal with attainability, completeness, pricing, and the relationship between risk and return in general continuous time models. Throughout, the exposition of the continuous time theory emphasizes the analogies between discrete time and continuous time methods and results. The book includes many examples, applications to the pricing of options and other derivative securities, and an extensive discussion of the Black-Scholes model and its most general theoretical extension.

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