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

Martingales and Financial Mathematics

J.A.M. van der Weide (Unknown)

Article Info

Publish Date
15 May 2004

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.

Copyrights © 2004




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Journal Info
Limits: Journal of Mathematics and Its Applications
Website

Abbrev

limits

Publisher

Institut Teknologi Sepuluh Nopember Surabaya

Subject

Computer Science & IT Mathematics

Description

Limits: Journal of Mathematics and Its Applications merupakan jurnal yang diterbitkan oleh Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember, Surabaya, Indonesia. Limits menerima makalah hasil riset di semua bidang Matematika, terutama bidang Analisis, Aljabar, Pemodelan Matematika, ...