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Financial Mathematics: A Comprehensive Treatment de Giuseppe Campolieti

Financial Mathematics: A Comprehensive Treatment: Chapman and Hall/CRC Financial Mathematics Series

Autor Giuseppe Campolieti, Roman N. Makarov
en Limba Engleză Hardback – 12 mar 2014
This text offers a comprehensive, self-contained, and unified treatment of the theory and application of mathematical methods behind modern-day financial mathematics. It introduces the financial theory and the relevant mathematical methods in a mathematically rigorous yet student-friendly and engaging style. The text provides complete and in-depth coverage of both discrete- and continuous-time financial models and pricing theory. It also includes numerous examples, exercises, fully worked out solutions, and multiple problem-solving approaches. A solutions manual is available upon qualifying course adoption.
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Specificații

ISBN-13: 9781439892428
ISBN-10: 1439892423
Pagini: 832
Ilustrații: 91 black & white illustrations, 3 black & white tables
Dimensiuni: 178 x 254 x 46 mm
Greutate: 1.7 kg
Ediția:New.
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series

Locul publicării:Boca Raton, United States

Public țintă

Postgraduate

Cuprins

 

INTRODUCTION TO PRICING AND MANAGEMENT OF FINANCIAL SECURITIES Mathematics of Compounding
Primer on Pricing Risky Assets
Portfolio Management
Primer on Derivative Securities
DISCRETE-TIME MODELING
Single-Period Arrow-Debreu Model
Introduction to Discrete-Time Stochastic Calculus
Multi-Period Binomial Market Model
Other Tree Models
Time-Series Models
CONTINUOUS-TIME MODELING
One-Dimensional Brownian Processes
Introduction to Continuous-Time Stochastic Calculus
Black-Scholes-Merton Option Pricing Formulation for One Risky Asset
Option Pricing Formulation for Multiple Assets
Risk-Neutral Pricing Theory
Path Dependent Options
American Options
Introduction to Other Models of Asset Price Dynamics
Interest-Rate Modeling and Derivative Pricing
Credit Risk Modeling
Introduction to Monte Carlo Methods in Finance
APPENDICES
Primer on Linear Algebra and Optimization
Primer on Probability
Facts and Properties of the Normal Distribution
Answers and Solutions to Selected Exercises

 

Notă biografică

Roman N. Makarov, Giuseppe Campolieti

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

Descriere

This text offers a comprehensive, self-contained, and unified treatment of the theory and application of mathematical methods behind modern-day financial mathematics. It introduces the financial theory and the relevant mathematical methods in a mathematically rigorous yet student-friendly and engaging style. The text provides complete and in-depth coverage of both discrete- and continuous-time financial models and pricing theory. It also includes numerous examples, exercises, fully worked out solutions, and multiple problem-solving approaches. A solutions manual is available upon qualifying course adoption.