Prices in Financial Markets

By Michael U. Dothan

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.

• Format: Hardcover
• Language: English
• ISBN: 0195053125
• ISBN13: 9780195053128
• Release Date: April 1990
• Publisher: Oxford University Press
• Length: 360 Pages
• Weight: 0.05 lbs.
• Dimensions: 1.3" x 6.4" x 9.6"

Customer Reviews

Comprehensive and well-organized book

This book is very well organized and comprehensive. It presents financial theory using rigorous mathematical analysis in a systematic fashion. I think this book can be a great complementary book to Cochrane's Asset Pricing book.

Very goo book

Excellent book. The only drawback is that there is no coverage of binary options.

Mathematics of derivatives

This book provides students of graduate and doctral programmes in financial mathematics thorough understanding of the mathematics underlying financial markets. This book complements other books on continuous time finance, Hull book on derivatives, etc.