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All Journal Jurnal Ilmu Dasar Limits: Journal of Mathematics and Its Applications Limits: Journal of Mathematics and Its Applications
J.A.M. van der Weide
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Computer Science & IT Control & Systems Engineering Mathematics

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Journal : Limits: Journal of Mathematics and Its Applications

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Martingales and Financial Mathematics J.A.M. van der Weide
Limits: Journal of Mathematics and Its Applications Vol 1, No 1 (2004)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (194.03 KB) | DOI: 10.12962/j1829605X.v1i1.1354

Abstract

In this expository paper, we will discuss the role played by martingales in Financial Mathematics. More precisely, we will restrict ourselves to a mathematical formulation of the economical concept of an arbitrage-free, complete market and the pricing of derivatives in such models. For a clear exposition, we only consider the discrete case. We also discuss the Cox-Ross-Rubinstein model which is still one of the most used models in Finance.
Co-Authors S Suyono