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1、SpringerFinanceEditorialBoardM.AvellanedaG.Barone-AdesiM.BroadieM.H.A.DavisE.DermanC.Klu¨ppelbergE.KoppW.SchachermayerRobertJ.ElliottandP.EkkehardKoppMathematicsofFinancialMarketsSecondeditionRobertJ.ElliottP.EkkehardKoppHaskayneSchoolofBusinessDepartmentofMathematicsUniversityofCalgaryUniversityof
2、HullCalgary,AlbertaHullHU67RXCanadaT2N1N4Yorkshirerobert.elliott@haskayne.ucalgary.caUnitedKingdomp.e.kopp@hull.ac.ukWith7figures.LibraryofCongressCataloging-in-PublicationDataElliott,RobertJ.(RobertJames),1940–Mathematicsoffinancialmarkets/RobertJ.ElliottandP.EkkehardKopp.—2nded.p.cm.—(Springerfin
3、ance)Includesbibliographicalreferencesandindex.ISBN0-387-21292-21.Investments—Mathematics.2.Stochasticanalysis.3.Options(Finance)—Mathematicalmodels.4.Securities—Prices—Mathematicalmodels.I.Kopp,P.E.,1944–II.Title.III.Series.HG4515.3.E372004332.6′01′51—dc222004052557ISBN0-387-21292-2Printedonacid-f
4、reepaper.?2005SpringerScience+BusinessMediaInc.Allrightsreserved.Thisworkmaynotbetranslatedorcopiedinwholeorinpartwithoutthewrittenpermissionofthepublisher(SpringerScience+BusinessMediaInc.,233SpringStreet,NewYork,NY10013,USA),exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Useinco
5、nnectionwithanyformofinformationstorageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmeth-odologynowknownorhereafterdevelopedisforbidden.Theuseinthispublicationoftradenames,trademarks,servicemarks,andsimilarterms,eveniftheyarenotidentifiedassuch,isnottobetakenasanexpress
6、ionofopinionastowhetherornottheyaresubjecttoproprietaryrights.PrintedintheUnitedStatesofAmerica.(EB)987654321SPIN10936511springeronline.comPrefaceThisworkisaimedatanaudiencewithasoundmathematicalbackgroundwishingtolearnabouttherapidlyexpanding?eldofmathematical?nance.Itscontentissuitableparticularl
7、yforgraduatestudentsinmathematicswhohaveabackgroundinmeasuretheoryandprobability.Theemphasisthroughoutisondevelopingthemathematicalconceptsrequiredforthetheorywithinthecontextoftheirapplication.Noattemptism
