Prices in Financial Markets

Hardcover | April 1, 1990

byMichael U. Dothan

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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, andthe 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 ofoptions and other derivative securities, and an extensive discussion of the Black-Scholes model and its most general theoretical extension.

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From the Publisher

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, andthe relationship between risk and return in...

Michael U. Dothan is at University of Minnesota.
Format:HardcoverDimensions:360 pages, 6.5 × 9.57 × 1.3 inPublished:April 1, 1990Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:0195053125

ISBN - 13:9780195053128

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"A good survey of financial markets, quite exhaustive, with some new results. A clear presentation of probabilistic tools is given. The book is in an agreeable format and very pleasant to read." --Mathematical Reviews