Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society).
- Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques
- Emphasizes introductory financial engineering, financial modeling, and financial mathematics
- Suited for corporate training programs and professional association certification programs
From the Publisher
Koertge’s verse novel ... is a good vehicle for meditations on life, loss, and faith. A spare and memorable work.
—The Horn Book (starred review)
VOYA - Christina Miller
Koertge tackles tough subjects in his award-winning books and stories (The Brimstone Journals [Candlewick, 2001/VOYA August 2001]; Stoner & Spaz [Candlewick, 2002/VOYA April 2002]; Lies, Knives, and Girls in Red Dresses [Candlewick, 2012/VOYA June 2012] and many more). Coaltown Jesus, written in verse like several of his other books, is no exception. Following the recent death of his older brother, fourteen-year-old Walker and his mother are in the throes of grief and despair. In desperation one night, Walker looks up to the dark sky and says, "If you're up there, help my mom, ok?" Later that evening, Jesus appears in Walker's bedroom. Jesus, though contemporary, sarcastic, and snide, helps Walker sort out his feelings and appreciate the miracles of everyday life, that life goes on, and love is all. This book's poetic form is a well-chosen vehicle for its emotional content, strong message, and powerful ending. The story is an excellent portrayal of grief, letting go, healing, hope, and coming to terms with loss. In spite of its title and Jesus character, this book will appeal to teens, Christian or not, experiencing grief and loss. Reviewer: Christina Miller
Children's Literature - Janice DeLong
A novel in verse, this story tackles the difficult topic of the death of a sibling and the depth of pain experienced within a family reeling from grief, self-recrimination, and withdrawal from each other. Into this milieu steps Jesusyes, that One. Shocked by the appearance of the second person of the Trinity, fourteen-year-old Walker is, although unbelieving at first, ready to acknowledge the companionship of Jesus and an easy rapport is established. The inevitable question arises of why has Walker’s brother Noah died instead of some of the old people in his mom’s nursing home, followed by other poignant and piercing probes. Through speaking Walker’s language, Jesus enables the teen to trust and also to realize that neither he nor his mom could have prevented Noah’s death. Every person is responsible for his own actions and their consequences. Although people of faith may find the book irreverent, those who have never come “face to face” with Jesus may discover deeper truth here than in many a sermon. In the end, Koertge offers food for thought and discussion for any reader, regardless of religious background. Reviewer: Janice DeLong; Ages 12 up.
School Library Journal
- Introduction and Overview
- Probability and Risk
- Discrete Time and State Models
- Continuous Time and State Models
- An Introduction to Stochastic Processes and Applications
- Fundamentals of Stochastic Calculus and Black-Scholes
- Further Applications of Black-Scholes
- Mean-Reverting Processes
Peter Knopf obtained his Ph.D. from Cornell University and subsequently taught at Texas A&M University and Rutgers University. He is currently Professor of Mathematics at Pace University. He has numerous research publications in both pure and applied mathematics. His recent research interests have been in the areas of difference equations and stochastic delay equation models for pricing securities.
John Teall is a visiting professor at LUISS Business School in Rome, Italy. He is a former member of the American Stock Exchange and has served as a consultant to Deutsche Bank, Goldman Sachs, and other financial institutions.