Introduction to the Mathematics of Finance

From Risk Management to Options Pricing

Steven Roman

354 pages, parution le 04/10/2004

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Résumé

The Mathematics of Finance has become a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options.

The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book also contains a chapter on options.

L'auteur - Steven Roman

Steven Roman is Professor Emeritus of mathematics at the California State University, Fullerton. 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 a series of 15 small books entitled Modules in Mathematics, designed for thegeneral college-level liberal arts student.

Sommaire

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

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Steven Roman
Parution	04/10/2004
Nb. de pages	354
Format	15,5 x 23,5
Couverture	Broché
Poids	543g
Intérieur	Noir et Blanc
EAN13	9780387213644
ISBN13	978-0-387-21364-4