A Course in Financial Calculus by Alison Etheridge, Martin Baxter | | 9781107385689 | NOOK Book (eBook) | Barnes & Noble
A Course in Financial Calculus

A Course in Financial Calculus

by Alison Etheridge
     
 

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Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced

Overview

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.

Editorial Reviews

From the Publisher
Etheridge offers an interesting, self-contained, and readable book highlighting advanced mathematical techniques used to solve complex financial market problems. Recommended." Choice

Product Details

ISBN-13:
9781107385689
Publisher:
Cambridge University Press
Publication date:
08/15/2002
Sold by:
Barnes & Noble
Format:
NOOK Book
File size:
18 MB
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