The Mathematics Of Finance

Author : Arlie O. Petters,Xiaoying Dong
Publisher : Springer
Page : 483 pages
File Size : 54,8 Mb
Release : 2016-06-17
Category : Mathematics
ISBN : 9781493937837

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An Introduction to Mathematical Finance with Applications by Arlie O. Petters,Xiaoying Dong Pdf

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.

Author : R. J. Williams
Publisher : American Mathematical Society
Page : 162 pages
File Size : 44,7 Mb
Release : 2021-09-14
Category : Mathematics
ISBN : 9781470460389

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Introduction to the Mathematics of Finance by R. J. Williams Pdf

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.

Author : Victor Goodman,Joseph Gail Stampfli
Publisher : American Mathematical Soc.
Page : 274 pages
File Size : 55,7 Mb
Release : 2009
Category : Capital market
ISBN : 9780821847930

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The Mathematics of Finance by Victor Goodman,Joseph Gail Stampfli Pdf

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.

Author : Stephen Garrett
Publisher : Butterworth-Heinemann
Page : 464 pages
File Size : 51,6 Mb
Release : 2013-05-28
Category : Mathematics
ISBN : 9780080982755

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An Introduction to the Mathematics of Finance by Stephen Garrett Pdf

An Introduction to the Mathematics of Finance: A Deterministic Approach, 2e, 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

Author : Marek Capinski,Tomasz Zastawniak
Publisher : Springer
Page : 314 pages
File Size : 53,5 Mb
Release : 2006-04-18
Category : Business & Economics
ISBN : 9781852338466

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Mathematics for Finance by Marek Capinski,Tomasz Zastawniak Pdf

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.

Author : Kathy Tannous,Petr Zima,Robert Brown,Steve Kopp
Publisher : McGraw-Hill Education Australia
Page : 386 pages
File Size : 47,5 Mb
Release : 2015-03-06
Category : Business & Economics
ISBN : 9781743764886

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EBOOK Mathematics of Finance by Kathy Tannous,Petr Zima,Robert Brown,Steve Kopp Pdf

Mathematics of Finance is designed to provide readers with a generic approach to appreciate the importance of understanding financial mathematics with respect to a wide range of financial transactions. Tannous, Brown, Kopp and Zima deliver an excellent tool to equip students with the knowledge needed to operate in a world of growing financial complexity. Real-World applications, such as home mortgages and personal loans, engage students by showing the relevance along with the tools needed to apply what they learn to other situations. Mathematics of Finance provides students with an understanding of the calculations that underlie most financial transactions. Case studies, exercises and numerous worked examples support the theory throughout the text. "Mathematics of Finance, by Tannous, Brown, Kopp and Zima, provides a splendid array of numerical examples with real life application that support financial understanding in a substantive manner. The Australian focus and use of excel for obtaining numerical solutions make the book extremely useful in building student interest, awareness and skill in the approach to financial transactions." - Professor Ron Ratti, University of Western Sydney.

Author : Donald G. Saari
Publisher : Springer Nature
Page : 144 pages
File Size : 51,7 Mb
Release : 2019-08-31
Category : Mathematics
ISBN : 9783030254438

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Mathematics of Finance by Donald G. Saari Pdf

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.

Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Page : 774 pages
File Size : 48,6 Mb
Release : 2019-12-03
Category : Mathematics
ISBN : 9783030261061

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Mathematical Finance by Ernst Eberlein,Jan Kallsen Pdf

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.

Author : Ioannis Karatzas
Publisher : American Mathematical Soc.
Page : 163 pages
File Size : 47,7 Mb
Release : 1997
Category : Business & Economics
ISBN : 9780821809099

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Lectures on the Mathematics of Finance by Ioannis Karatzas Pdf

In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Author : Salih N. Neftci
Publisher : Academic Press
Page : 550 pages
File Size : 51,6 Mb
Release : 2000-05-19
Category : Business & Economics
ISBN : 9780125153928

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An Introduction to the Mathematics of Financial Derivatives by Salih N. Neftci Pdf

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.

Author : Kannoo Ravindran
Publisher : John Wiley & Sons
Page : 352 pages
File Size : 42,8 Mb
Release : 2014-08-18
Category : Business & Economics
ISBN : 9781118235522

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The Mathematics of Financial Models by Kannoo Ravindran Pdf

Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculus, statistics and numerical analysis that are used to build the quantitative methods used. Financial analysts, investment professionals, risk-management professionals, and graduate students will find applicable information throughout the book, and gain from the self-study exercises and the refresher course on key mathematical topics. Equipped with tips and information, The Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts, investment and risk-management professionals better navigate client issues Contains interactive tools that demonstrate the power of analysis and modeling Helps financial professionals become more familiar with the challenges across a range of industries Includes a mathematics refresher course and plenty of exercises to get readers up to speed The Mathematics of Financial Models is an in-depth guide that helps readers break through common client financial problems and emerge with clearer strategies for solving issues in the future.

Author : Robert J Elliott,P. Ekkehard Kopp
Publisher : Springer Science & Business Media
Page : 298 pages
File Size : 42,8 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781475771466

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Mathematics of Financial Markets by Robert J Elliott,P. Ekkehard Kopp Pdf

This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.

Author : Paul Wilmott,Sam Howison,Jeff Dewynne
Publisher : Cambridge University Press
Page : 338 pages
File Size : 42,6 Mb
Release : 1995-09-29
Category : Business & Economics
ISBN : 0521497892

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The Mathematics of Financial Derivatives by Paul Wilmott,Sam Howison,Jeff Dewynne Pdf

Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.

Author : Steven Roman
Publisher : Springer Science & Business Media
Page : 358 pages
File Size : 44,9 Mb
Release : 2013-12-01
Category : Mathematics
ISBN : 9781441990051

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Introduction to the Mathematics of Finance by Steven Roman Pdf

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.

Author : Robert Cissell,Helen Cissell,David C. Flaspohler
Publisher : Unknown
Page : 748 pages
File Size : 53,7 Mb
Release : 1990
Category : Business mathematics
ISBN : 039543324X

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Mathematics of Finance by Robert Cissell,Helen Cissell,David C. Flaspohler Pdf