|
Usually ships within 7 to 9 working days
|
- Product code: 15420
- ISBN: 0521890772,
ISBN13: 9780521890779,
204 pages, paperback
Published by Cambridge University Press on 2002
, 1st Rate this book...
Rating: 0.0/5 (0 votes cast)
|
|
|
|
|
Description of A Course in Financial Calculus |
Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.
|
Contents of A Course in Financial Calculus |
Preface
1. Single period models
2. Binomial trees and discrete parameter martingales
3. Brownian motion
4. Stochastic calculus
5. The Black-Scholes model
6. Different payoffs
7. Bigger models
Bibliography and further reading
Notation
Index
|
Buyers of A Course in Financial Calculus also bought
Other books by Alison Etheridge
Bulk buying
| If you need bulk copies of A Course in Financial Calculus, or are interested in opening a corporate account, please contact us. |
|
Shopping basket