Financial Mathematics : A Comprehensive Treatment / by Giuseppe Campolieti and Roman N. Makarov.

Format:

Book

Author/Creator:

Campolieti, Giuseppe, author.

Makarov, Roman N., author.

Series:

Chapman & Hall/CRC financial mathematics series.

Chapman and Hall/CRC Financial Mathematics Series

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (826 p.)

Edition:

1st edition

Place of Publication:

Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2018].

Language Note:

English

System Details:

text file

Summary:

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels. Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. 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. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.

Contents:

Front Cover; Dedication; Contents; List of Figures and Tables; List of Algorithms; Preface; Part I: Introduction to Pricing and Management of Financial Securities; Chapter 1: Mathematics of Compounding; Chapter 2: Primer on Pricing Risky Securities; Chapter 3: Portfolio Management; Chapter 4: Primer on Derivative Securities; Part II: Discrete-Time Modelling; Chapter 5: Single-Period Arrow-Debreu Models; Chapter 6: Introduction to Discrete-Time Stochastic Calculus; Chapter 7: Replication and Pricing in the Binomial Tree Model; Chapter 8: General Multi-Asset Multi-Period Model

Part III: Continuous-Time ModellingChapter 9: Essentials of General Probability Theory; Chapter 10: One-Dimensional Brownian Motion and Related Processes; Chapter 11: Introduction to Continuous-Time Stochastic Calculus; Chapter 12: Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock; Chapter 13: Risk-Neutral Pricing in a Multi-Asset Economy; Chapter 14: American Options; Chapter 15: Interest-Rate Modelling and Derivative Pricing; Chapter 16: Alternative Models of Asset Price Dynamics; Part IV: Computational Techniques

Chapter 17: Introduction to Monte Carlo and Simulation MethodsChapter 18: Numerical Applications to Derivative Pricing; Appendix: Some Useful Integral Identities and Symmetry Properties of Normal Random Variables; Glossary of Symbols and Abbreviations; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9781315362854

1315362856

9781315373768

1315373769

9781439892428

1439892423

9781439892435

1439892431

OCLC:

879683562