A Course in Financial Calculus - Softcover

Etheridge, Alison

Softcover

ISBN 10: 0521890772 ISBN 13: 9780521890779

Publisher: Cambridge University Press, 2002

Synopsis

This 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. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are 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 large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

About this title

Book Description

Finance provides a dramatic example of the successful application of mathematics to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus. Key concepts are introduced in the discrete time framework: proofs in the continuous-time world follow naturally. The second half of the book is devoted to financially sophisticated models and instruments. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts are applied to realistic financial questions.

Review

Etheridge offers an interesting, self-contained, and readable book highlighting advanced mathematical techniques used to solve complex financial market problems. Recommended." Choice

Edition details

• Publisher: Cambridge University Press
• Publication date: 2002
• ISBN 10: 0521890772
• ISBN 13: 9780521890779
• Binding: Paperback
• Language: English
• Number of pages: 206