Introductory Course on Financial Mathematics
Michael V. Tretyakov,
Sold by Basi6 International, Irving, TX, U.S.A.
AbeBooks Seller since 24 June 2016
New - Hardcover
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Add to basketSold by Basi6 International, Irving, TX, U.S.A.
AbeBooks Seller since 24 June 2016
Condition: New
Quantity: 1 available
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Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective to quantify and hedge risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas on derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a "sandwich" structure: Probability and stochastics are given on the spot, at places where mathematics can almost immediately be illustrated by an application to finance.
The first part of the book introduces one of the main principles in finance no arbitrage pricing. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. This part is not mathematical. The second part deals with pricing and hedging of European- and American-type options in the discrete time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part discusses stochastic analysis and introduces the Wiener process, Ito integrals, and stochastic differential equations. The main feature of this final part of the book is the famous Black Scholes formula for pricing European options. Some guidance for further study of this exciting and rapidly changing subject is given in the last chapter. The book has approximately 100 exercises, for which most solutions have been provided.
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