Download or read book Introduction to the Mathematics of Finance written by R. J. Williams and published by American Mathematical Society. This book was released on 2021-09-14 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.
Download or read book Mathematics of Finance written by Robert Cissell and published by . This book was released on 1990 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Finance written by Ernst Eberlein and published by Springer Nature. This book was released on 2019-12-03 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.
Download or read book Mathematics for Finance written by Marek Capinski and published by Springer. This book was released on 2006-04-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Download or read book Financial Mathematics written by Yuliya Mishura and published by Elsevier. This book was released on 2016-02-01 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and martingale criterion and the proven absence of arbitrage. With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial models, enabling you to solve problems both from mathematical and from financial point of view. Calculations of Lower and upper prices, featuring practical examples The simplest functional limit theorem proved for transition from discrete to continuous time Learn how to optimize portfolio in the presence of risk factors
Download or read book Financial Mathematics written by Giuseppe Campolieti and published by CRC Press. This book was released on 2022-12-21 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
Download or read book An Introduction to the Mathematics of Finance written by Stephen Garrett and published by Butterworth-Heinemann. This book was released on 2013-05-28 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to the Mathematics of Finance: A Deterministic Approach, Second edition, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK actuaries, the CT1 exam. It realigns the table of contents with the CT1 exam and includes sample questions from past exams of both The Actuarial Profession and the CFA Institute. With a wealth of solved problems and interesting applications, An Introduction to the Mathematics of Finance stands alone in its ability to address the needs of its primary target audience, the actuarial student. Closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries Features new content and more examples Online supplements available: http://booksite.elsevier.com/9780080982403/ Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute
Download or read book Mathematics of Finance written by Donald G. Saari and published by Springer Nature. This book was released on 2019-08-31 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook invites the reader to develop a holistic grounding in mathematical finance, where concepts and intuition play as important a role as powerful mathematical tools. Financial interactions are characterized by a vast amount of data and uncertainty; navigating the inherent dangers and hidden opportunities requires a keen understanding of what techniques to apply and when. By exploring the conceptual foundations of options pricing, the author equips readers to choose their tools with a critical eye and adapt to emerging challenges. Introducing the basics of gambles through realistic scenarios, the text goes on to build the core financial techniques of Puts, Calls, hedging, and arbitrage. Chapters on modeling and probability lead into the centerpiece: the Black–Scholes equation. Omitting the mechanics of solving Black–Scholes itself, the presentation instead focuses on an in-depth analysis of its derivation and solutions. Advanced topics that follow include the Greeks, American options, and embellishments. Throughout, the author presents topics in an engaging conversational style. “Intuition breaks” frequently prompt students to set aside mathematical details and think critically about the relevance of tools in context. Mathematics of Finance is ideal for undergraduates from a variety of backgrounds, including mathematics, economics, statistics, data science, and computer science. Students should have experience with the standard calculus sequence, as well as a familiarity with differential equations and probability. No financial expertise is assumed of student or instructor; in fact, the text’s deep connection to mathematical ideas makes it suitable for a math capstone course. A complete set of the author’s lecture videos is available on YouTube, providing a comprehensive supplementary resource for a course or independent study.
Download or read book Introduction to Financial Mathematics written by Donald R. Chambers and published by CRC Press. This book was released on 2021-06-16 with total page 581 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.
Download or read book Introduction to the Economics and Mathematics of Financial Markets written by Jaksa Cvitanic and published by MIT Press. This book was released on 2004-02-27 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.
Download or read book The Mathematics of Finance written by Victor Goodman and published by American Mathematical Soc.. This book was released on 2009 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins with binomial stock price models, moves on to multistage models, then to the Cox-Ross-Rubinstein option pricing process, and then to the Black-Scholes formula. Other topics presented include Zero Coupon Bonds, forward rates, the yield curve, and several bond price models. The book continues with foreign exchange models and the Keynes Interest Rate Parity Formula, and concludes with the study of country risk, a topic not inappropriate for the times."--pub. desc.
Download or read book Introduction to the Mathematics of Finance written by Steven Roman and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists. Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.
Download or read book Mathematics of Finance written by W. Kathy Tannous and published by . This book was released on 2013 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Zima and Brown continue to identify a generic approach to problem solving with a wide range of interest rates within the problems presented in the text. They also provided the following set of pedagogical and financial tools. This text emphasizes the point that the most important aspect for the student is to be able to visualize the problem. Timeline diagrams help the student to determine how to solve the problem from first principles. They emphasize the use of calculators and Excel spreadsheets (solutions provided where appropriate) in problem-solving techniques, and include Internet-based resources and tools. Exercises for each topic in the text are stratified into fundamental learning exercises in Part A, and more challenging and theoretical problems in Part B. Each chapter closes with the Summary and Review Exercises, and, in many chapters, the Review Exercises include one or more Case Studies presenting more complex real-world problems.
Download or read book Financial Mathematics Derivatives and Structured Products written by Raymond H. Chan and published by Springer. This book was released on 2019-02-27 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
Download or read book An Introduction to Mathematical Finance with Applications written by Arlie O. Petters and published by Springer. This book was released on 2016-06-17 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.
Download or read book Mathematical Finance written by Christian Fries and published by John Wiley & Sons. This book was released on 2007-10-19 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.
Download or read book The Concepts and Practice of Mathematical Finance written by Mark S. Joshi and published by Cambridge University Press. This book was released on 2008-10-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.
