Financial Mathematics
A Comprehensive Treatment
1st Edition
Published on 14. October 2024
Book
Paperback/Softback
832 pages
978-1-032-91745-0 (ISBN)
Description
Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels
Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors' teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.
Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.
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. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors' teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.
Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.
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. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Reviews / Votes
"... brings together under a single cover a comprehensive and descriptive presentation of quantitative finance deftly organized into four major sections ... A critically important acquisition for an academic library ... especially recommended textbook for undergraduate and graduate students in the fields of mathematics, finance, actuarial science, and economics."-Library Bookwatch, April 2014
"As the owner of literally thousands of books on the mathematics of arbitrage, I'm sorely tempted to sell my collection and buy this book as a replacement. Or better yet, one for the office and one for the home office. I commend the authors for their authoritative and comprehensive treatment."
-Peter Carr, PhD, Managing Director, Morgan Stanley, and Executive Director, NYU Courant Master of Science Program in Mathematics in Finance
"This is a monumental effort to bring together topics from quantitative finance into one book; one no longer needs to go to different references to get the full scope of contents in the book. The authors treat the subjects rigorously but with plenty of examples, paying close attention to an audience that may encounter the subject matter for the first time, but aware that others will have seen it in different form earlier and may be looking for a different angle. This is a book that will find its way into classrooms worldwide."
-Luis Seco, Professor, Department of Mathematics, University of Toronto
More details
Series
Language
English
Place of publication
Boca Raton
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
Postgraduate
Illustrations
91 s/w Abbildungen
91 Illustrations, black and white
Dimensions
Height: 254 mm
Width: 178 mm
Weight
1540 gr
ISBN-13
978-1-032-91745-0 (9781032917450)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
03/2014
1st Edition
Chapman & Hall/CRC
€136.40
Article exhausted; check different version
Persons
Roman N. Makarov, Giuseppe Campolieti
Content
Introduction to Pricing and Management of Financial Securities. Discrete-Time Modeling. Continuous-Time Modeling. Computational Techniques. Appendix. Glossary of Symbols and Abbreviations. References. Index.