Mathematics for finance

An introduction to financial engineering

Marek Capinski, Tomasz Zastawniak

320 pages, parution le 08/09/2003

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Résumé

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes' arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students.

The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.

Introduction: A Simple Market Model
Risk-Free Assets
Risky Assets
Discrete Time Market Models
Portfolio Management
Forward and Futures Contracts
Options: General Properties
Option Pricing.- Financial Engineering
Variable Interest Rates
Stochastic Interest Rates
Solutions

Bibliography
Glossary of Symbols
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Marek Capinski, Tomasz Zastawniak
Parution	08/09/2003
Nb. de pages	320
Format	17,7 x 23,5
Couverture	Broché
Poids	625g
Intérieur	Noir et Blanc
EAN13	9781852333300
ISBN13	978-1-85233-330-0