Financial Mathematics
From Discrete to Continuous Time
1st Edition
Published on 21. December 2022
Book
Hardback
411 pages
978-1-4987-8040-7 (ISBN)
Description
Financial 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 that this program provides. Prerequisites are good courses in mathematical probability, acquaintance with statistical estimation, and a grounding in matrix algebra.
The highlights of the text are:
A thorough presentation of the problem of portfolio optimization, leading in a natural way to the Capital Market Theory
Dynamic programming and the optimal portfolio selection-consumption problem through time
An intuitive approach to Brownian motion and stochastic integral models for continuous time problems
The Black-Scholes equation for simple European option values, derived in several different ways
A chapter on several types of exotic options
Material on the management of risk in several contexts
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 that this program provides. Prerequisites are good courses in mathematical probability, acquaintance with statistical estimation, and a grounding in matrix algebra.
The highlights of the text are:
A thorough presentation of the problem of portfolio optimization, leading in a natural way to the Capital Market Theory
Dynamic programming and the optimal portfolio selection-consumption problem through time
An intuitive approach to Brownian motion and stochastic integral models for continuous time problems
The Black-Scholes equation for simple European option values, derived in several different ways
A chapter on several types of exotic options
Material on the management of risk in several contexts
Reviews / Votes
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
More details
Series
Language
English
Place of publication
Oxford
United States
Publishing group
Taylor & Francis Inc
Target group
Professional and scholarly
Illustrations
109 s/w Abbildungen, 109 s/w Zeichnungen
109 Line drawings, black and white; 109 Illustrations, black and white
Dimensions
Height: 234 mm
Width: 156 mm
Weight
840 gr
ISBN-13
978-1-4987-8040-7 (9781498780407)
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
E-Book
12/2022
1st Edition
Chapman & Hall/CRC
€125.99
Available for download
E-Book
12/2022
1st Edition
Chapman & Hall/CRC
€125.99
Available for download
Person
Kevin J. Hastings is Professor of Mathematics; Rothwell C. Stephens Distinguished Service Chair at Knox College. He holds a Ph.D. from Northwestern University. His interests include applications to real-world problems affected by random inputs or disturbances. He is the author or three other books for CRC Press:
Introduction to Financial Mathematics, CRC Press, 2016. CHOICE Highly Recommended selection and 2017 Top Books for Colleges.
Introduction to Probability with Mathematica, 2nd ed., Chapman & Hall/CRC Press, 2009.
Introduction to the Mathematics of Operations Research with Mathematica, 2nd edition, Taylor & Francis/Marcel Dekker, 2006.
Introduction to Probability with Mathematica. CRC Press/Chapman & Hall, 2000. Also available as an e-book.
Introduction to Financial Mathematics, CRC Press, 2016. CHOICE Highly Recommended selection and 2017 Top Books for Colleges.
Introduction to Probability with Mathematica, 2nd ed., Chapman & Hall/CRC Press, 2009.
Introduction to the Mathematics of Operations Research with Mathematica, 2nd edition, Taylor & Francis/Marcel Dekker, 2006.
Introduction to Probability with Mathematica. CRC Press/Chapman & Hall, 2000. Also available as an e-book.
Content
Chapter 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.