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This textbook in financial economics provides a rigorous overview of the subject that - because of an innovative presentation - is suitable for use at different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organisation, the concept of interest rates, the main mathematical models and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging.
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Review:
"This is a very well done text that lives up to its billing as an introduction to both the economics and the mathematics of finance. The authors are to be commended for having avoided both the Scylla of the typical mathematical exposition in which economic examples are treated as asides that merely illustrate some mathematical technique, and the Charybdis of the introductory text that timidly skirts the substantive mathematical issues. The reader who sets down at the table to master this text will come away from the meal fully satisfied." --Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, MIT
About the Author:
Jaksa Cvitanic is Professor of Mathematical Finance at the California Institute of Technology and Professor of Finance at EDHEC Business School. Fernando Zapatero is Robert G. Kirby Chair in Behavioral Finance and Professor of Finance and Business Economics at the University of Southern California.
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- PublisherMIT Press
- Publication date2004
- ISBN 10 0262532654
- ISBN 13 9780262532655
- BindingPaperback
- Number of pages448
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Introduction to the Economics and Mathematics of Financial Markets (The MIT Press)
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Introduction to the Economics and Mathematics of Financial Markets (The MIT Press)
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