Description

Book Synopsis

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 mathemati

    Table of Contents

    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.

Financial Mathematics

    Product form

    A Hardback by Giuseppe Campolieti, Roman N. Makarov

    £999.99

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      Book details

      Publisher CRC Press
      Published 1/21/2022 12:12:00 AM
      ISBN-13 9781138603639
      978-1138603639
      ISBN-10 1138603635
      Also in:
      Business, Finance & Law Economics Mathematics Applied mathematics Probability and statistics

      Description

      Book Synopsis

      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 mathemati

        Table of Contents

        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.

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