Introduction to the Mathematics of Finance: From Risk Management to Options Pricing

Introduction to the Mathematics of Finance: From Risk Management to Options Pricing

by Steven Roman, S. Roman
     
 

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ISBN-10: 0387213759

ISBN-13: 9780387213750

Pub. Date: 07/22/2004

Publisher: Springer-Verlag New York, LLC

The Mathematics of Finance has become a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional

Overview

The Mathematics of Finance has become a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options.

The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book also contains a chapter on options.

Product Details

ISBN-13:
9780387213750
Publisher:
Springer-Verlag New York, LLC
Publication date:
07/22/2004
Series:
Undergraduate Texts in Mathematics Series
Pages:
369
Product dimensions:
9.21(w) x 6.14(h) x 0.88(d)

Table of Contents

Preface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.

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