Risk Neutral Pricing and Financial Mathematics: A Primer

by Peter M. Knopf, John L. Teall

Overview

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

Product Details

ISBN-13:	9780128017272
Publisher:	Elsevier Science & Technology Books
Publication date:	07/29/2015
Sold by:	Barnes & Noble
Format:	eBook
Pages:	348
File size:	8 MB

About the Author

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.

Table of Contents

- 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

What People are Saying About This

From the Publisher

Teaches introductory financial modeling and mathematics to those lacking significant technical backgrounds, covering finance topics not normally addressed at this level

Editorial Reviews

"A self-contained and well-balanced financial modeling textbook ideally suitable for both business school and engineering school. It also offers an intuitive and applied orientation approach for professional training and self-study." —K.C. Chang, George Mason University​

From the Publisher