Prices in Financial Markets

• Introduction to models of financial markets; One-period equilibrium price measures; A discrete multi-period model; Multi-period equilibrium price measures; Discrete stochastic calculus; Extensions of the discrete multi-period model; The Wiener process; Ito Calculus; The Black-Scholes model; Local martingales and semimartingales; General stochastic calculus; A continuous multi-period model

'The great strengths of the book are its logical development of very sophisticated concepts and the examples and exercises. Each major definition and theorem is followed by a simple example. This makes the early chapters on the discrete model, in particular, very useful for teaching at the PhD level.' Richard Stapleton, University of Lancster, Economica, 2/92