Article Per Year (5 Year)
p-Index From 2020 - 2025
0
P-Index
This Author published in this journals
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
Unknown Affiliation
Computer Science & IT Control & Systems Engineering Mathematics

Published : 3 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : Limits: Journal of Mathematics and Its Applications

 1 
Martingales and Financial Mathematics J.A.M. van der Weide
Limits: Journal of Mathematics and Its Applications Vol. 1 No. 1 (2004): Limits: Journal of Mathematics and Its Applications Volume 1 Nomor 1 Edisi Nove
Publisher : Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar

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