Introduction to the Mathematics of Finance
From Risk Management to Options Pricing
1st Edition
Published on 30. August 2004
Book
Hardback
XV, 354 pages
978-0-387-21375-0 (ISBN)
Description
An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists.
Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.
Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.
Reviews / Votes
From the reviews of the first edition: "The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. ... The mathematics is not watered down but is appropriate for the intended audience. ... No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004) "The book is basically a textbook on the mathematics of financial derivatives on equity ... . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005)More details
Series
Language
English
Place of publication
New York, NY
United States
Target group
College/higher education
Professional and scholarly
Graduate
Edition type
New edition
Product notice
Laminated cover
Illustrations
55
55 s/w Abbildungen
10 black & white illustrations
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Thickness: 22 mm
Weight
660 gr
ISBN-13
978-0-387-21375-0 (9780387213750)
Schweitzer Classification
Other editions
New editions
Book
04/2012
2nd Edition
Springer
€74.89
Shipment within 15-20 days
Additional editions
E-Book
12/2013
1st Edition
Springer
€69.54
Available for download
Book
08/2004
Springer
€69.54
Article exhausted; check for reprint
Person
Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag. He has also written Modules in Mathematics, a series of 15 small books designed for the general college-level liberal arts student. Besides his books for O'Reilly, Dr. Roman has written two other computer books, both published by Springer-Verlag.
Content
Preface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.