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Financial Mathematic
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My main goal with this text is to present the mathematical modelling
of financial markets in a mathematically rigorous way, yet avoiding math-
ematical technicalities that tends to deter people from trying to access
it.
Trade takes place in discrete time; the continuous case is considered
as the limiting case when the length of the time intervals tend to zero.
However, the dynamics of asset values are modelled in continuous time as
in the usual Black-Scholes model. This avoids some mathematical techni-
calities that seem irrelevant to the reality we are modelling.
The text focuses on the price dynamics of forward (or futures) prices
rather than spot prices, which is more traditional. The rationale for this is
that forward and futures prices for any good—also consumption goods—
exhibit a Martingale property on an arbitrage free market, whereas this is
not true in general for spot prices (other than for pure investment assets.)
It also simplifies computations when derivatives on investment assets that
pay dividends are studied.
Harald Lang - Personal Name
1st Edition
NONE
Financial Mathematic
Management
English
Saylor
2012
1-85
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