Description
Book SynopsisFinancial Mathematics: From Discrete to Continuous Time is a study of the mathematical ideas and techniques that are important to the two main arms of the area of financial mathematics: portfolio optimization and derivative valuation. The text is authored for courses taken by advanced undergraduates, MBA, or other students in quantitative finance programs.
The approach will be mathematically correct but informal, sometimes omitting proofs of the more difficult results and stressing practical results and interpretation. The text will not be dependent on any particular technology, but it will be laced with examples requiring the numerical and graphical power of the machine.
The text illustrates simulation techniques to stand in for analytical techniques when the latter are impractical. There will be an electronic version of the text that integrates Mathematica functionality into the development, making full use of the computational and simulation tools tha
Trade Review
I like Kevin Hastings' "Introduction to Financial Mathematics" (Volume 1) very much.
The book is very readable; it builds slowly with many examples and
exercises (and answers to some of the exercises are in the back).
The writing style is good; the exercises are easy to understand.
The material is comprehensive and covers the topics well.
It is surprising that the book maintains the same clear level of exposition
from the simple early chapters to the more complicated later chapters.
The table of contents covers all the material that should appear in a
financial mathematics course.
Dan Zwillinger
In addition to its clear explanations, this volume emphasizes real problem solving with examples and exercises that challenge students to apply knowledge of basic concepts to new situations. Another unique aspect is the application of discrete probability to finance; the author provides an overview and illustrates problems in which the rates of interest are random variables, instead of traditional problems that consider only known constants. Topics covered include the mathematics of interest, valuation of bonds, discrete probability for finance, portfolio selection, and derivatives.
This book is highly recommended for undergraduates and those preparing for actuarial credentialing and exams.
S. J. Chapman Jr.,
Purdue University-NorthWest
Table of ContentsChapter 1. Review of Preliminaries. Chapter 2. More on Portfolio Optimization; Capital Market Theory. Chapter 3. Derivatives Valuation in Multiple Periods. Chapter 4. Continuous Probability Models. Chapter 5. Derivative Valuation in Continuous Time. Appendices.
