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Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II de Giuseppe Campolieti

Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II: Textbooks in Mathematics

Autor Giuseppe Campolieti, Roman N. Makarov
en Limba Engleză Hardback – 21 dec 2022
The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way.
This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives.
Key features:
  • In-depth coverage of continuous-time theory and methodology
  • Numerous, fully worked out examples and exercises in every chapter
  • Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts
  • Judicious balance of financial theory and mathematical methods
  • Guide to Material
This revision contains:
  • Almost 150 pages worth of new material in all chapters
  • A appendix on probability theory
  • An expanded set of solved problems and additional exercises
  • Answers to all exercises
This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics.
The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
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Specificații

ISBN-13: 9781138603639
ISBN-10: 1138603635
Pagini: 510
Ilustrații: 36 Line drawings, black and white; 36 Illustrations, black and white
Dimensiuni: 178 x 254 x 33 mm
Greutate: 1.1 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Textbooks in Mathematics

Cuprins

Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional Brownian Motion and Related Processes. 2. Introduction to Continuous-Time Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate Modelling and Derivative Pricing. 7. Alternative Models of Asset Price Dynamics. A. Essentials of General Probability Theory. B. Some Useful Integral (Expectation) Identities and Symmetry Properties of Normal Random Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and Abbreviations. Greek Alphabet. References. Index.

Notă biografică

Giuseppe Campolieti is Professor of Mathematics at Wilfrid Laurier University in Waterloo, Canada. He has been Natural Sciences and Engineering Research Council postdoctoral research fellow and university research fellow at the University of Toronto. In 1998, he joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. Dr. Campolieti also founded a financial software and consulting company in 1998. He joined Laurier in 2002 as Associate Professor of Mathematics and as SHARCNET Chair in Financial Mathematics.
Roman N. Makarov is Associate Professor and Chair of Mathematics at Wilfrid Laurier University. Prior to joining Laurier in 2003, he was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.

Descriere

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way.

Recenzii

"… brings together under a single cover a comprehensive and descriptive presentation of quantitative finance deftly organized into four major sections … A critically important acquisition for an academic library … especially recommended textbook for undergraduate and graduate students in the fields of mathematics, finance, actuarial science, and economics."
—Library Bookwatch, April 2014
"As the owner of literally thousands of books on the mathematics of arbitrage, I’m sorely tempted to sell my collection and buy this book as a replacement. Or better yet, one for the office and one for the home office. I commend the authors for their authoritative and comprehensive treatment."
—Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance
"This is a monumental effort to bring together topics from quantitative finance into one book; one no longer needs to go to different references to get the full scope of contents in the book. The authors treat the subjects rigorously but with plenty of examples, paying close attention to an audience that may encounter the subject matter for the first time, but aware that others will have seen it in different form earlier and may be looking for a different angle. This is a book that will find its way into classrooms worldwide."
—Luis Seco, Professor, Department of Mathematics, University of Toronto