A Course in Financial Calculus / Edition 1

A Course in Financial Calculus / Edition 1

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Cambridge University Press
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A Course in Financial Calculus / Edition 1

This text is designed for first courses in financial calculus aimed at students with a strong 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. Later chapters are devoted to increasing the financial sophistication of the models and instruments introduced in earlier chapters. A final chapter introduces more advanced topics such as stock price models with jumps. Numerous exercises and examples are included. The author is affiliated with the University of Oxford. Annotation c. Book News, Inc.,Portland, OR

Product Details

ISBN-13: 9780521890779
Publisher: Cambridge University Press
Publication date: 05/28/2011
Edition description: New Edition
Pages: 206
Product dimensions: 5.98(w) x 8.98(h) x 0.43(d)

Table of Contents

Preface; 1. Single period models; 2. Binomial trees and discrete parameter martingales; 3. Brownian motion; 4. Stochastic calculus; 5. The Black-Scholes model; 6. Different payoffs; 7. Bigger models; Bibliography and further reading; Notation; Index.

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