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 Introduction to the Mathematical Theory of Finance written by Chester Hume Forsyth and published by . This book was released on 1928 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Probability Theory in Finance written by Seán Dineen and published by American Mathematical Soc.. This book was released on 2013-05-22 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of
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 Tables Reprinted from an Introduction to the Mathematical Theory of Finance written by Chester Hume Forsyth and published by . This book was released on 1928 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Option Theory with Stochastic Analysis written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
Download or read book Introduction to Mathematical Finance written by Stanley R. Pliska and published by Wiley. This book was released on 1997-07-07 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergraduates and beginning graduate students. It is also likely to be useful to practicing financial engineers, portfolio manager, and actuaries who wish to acquire a fundamental understanding of financial theory. The book makes heavy use of mathematics, but not at an advanced level. Various mathematical concepts are developed as needed, and computational examples are emphasized.
Download or read book Measure Probability and Mathematical Finance written by Guojun Gan and published by John Wiley & Sons. This book was released on 2014-04-07 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.
Download or read book Markets with Transaction Costs written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2009-12-04 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is the first monograph on this highly important subject.
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 An Introduction to Quantitative Finance written by Christopher Hian Ann Ting and published by World Scientific Publishing Company. This book was released on 2015-09-16 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities. The book provides a refreshing perspective on Box's thesis that "all models are wrong, but some are useful." Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners. The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.
Download or read book An Introduction to the Mathematics of Financial Derivatives written by Salih N. Neftci and published by Academic Press. This book was released on 2000-05-19 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
Download or read book Mathematical Finance written by Mark H. A. Davis and published by Oxford University Press, USA. This book was released on 2019 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now a vital part of modern economies, the rapid growth of the finance industry in recent decades is largely due to the development of mathematical methods such as the theory of arbitrage. Asset valuation, credit trading, and fund management, now depend on these mathematical tools. Mark Davis explains the theories and their applications.
Download or read book Mathematical Finance written by Nikolai Dokuchaev and published by Routledge. This book was released on 2007-02-01 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majori
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 1998-08-13 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.
