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An Elementary Introduction to Mathematical Finance: Options and other Topics - Hardcover

 
9780521814294: An Elementary Introduction to Mathematical Finance: Options and other Topics

Synopsis

Contains a new chapter on optimization methods in finance, a new section on Value at Risk and Conditional Value at Risk, plus much more.

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Review

Reviews of the first edition: '... an excellent introduction to the subject ... the book is ideally suited for self-study and provides a very accessible entry point to this fascinating field.' P. P. Boyle, ISI Short Book Reviews

'... provides an excellent introduction to the mathematics of finance ... very useful as a text for an introductory course'. Julian O'Shea, Zentralblatt MATH

'... this excellent text achieves its aim to provide a highly accessible and at the same time accurate presentation of the subject. I would recommend it for libraries to purchase.' Georgi Boshnakov, The Statistician

'... provides an accessible and relatively deep insight into basic and advanced topics of mathematical finance ... The lucid style of the exposition will be appreciated by readers interested in the topic, and by researchers, students and practitioners.' European Maths Society Journal

'The book is organized in a very natural way ... the book gives a good survey of the various tasks and problems of financial mathematics. the main principles underlying the subject (e.g. arbitrage, present value, expected utility, risk-neutral pricing) are explained in a very clear fashion and are separated from the complex mathematics that usually accompanies them in more advanced texts on finance. The friendly and enthusiastic writing style, the numerous exercises, and the simple derivations of many deep results also play their part in making the book an ideal basis for an introductory lecture series in financial mathematics. It can definitely be recommended to professionals or undergraduates as good reading for a fist contact to the topic.' Journal of the American Statistical Association

Book Description

Contains a new chapter on optimisation methods in finance, a new section on Value at Risk and Conditional Value at Risk; a new and simplified derivation of the Black-Scholes equation with derivations of the partial derivatives of the Black-Scholes option cost function and of the computational Black-Scholes formula; three different models of European call options with dividends; and a new, easily implemented method for estimating the volatility parameter.

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  • PublisherCambridge University Press
  • Publication date2002
  • ISBN 10 0521814294
  • ISBN 13 9780521814294
  • BindingHardcover
  • LanguageEnglish
  • Edition number2
  • Number of pages272

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9787111138679: An Elementary Introduction to Mathematical Finance Options and Other Topics Second Edition - INTERNATIONAL EDITION

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