Mathematical Techniques in Finance: Tools for Incomplete Markets - Softcover

Cernư, Ales

Softcover

ISBN 10: 0691088071 ISBN 13: 9780691088075

Publisher: Princeton University Press, 2003

Synopsis

Modern finance overlaps with many fields of mathematics, and for students this can represent considerable strain. Mathematical Techniques in Finance is an ideal textbook for Masters finance courses with a significant quantitative element while also being suitable for finance Ph.D. students. Developed for the highly acclaimed Master of Science in Finance program at Imperial College London, it offers a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics. In the best engineering tradition, Aleš Černư mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. Eighty figures, over 70 worked examples, 25 simple ready-to-run computer programs, and several spreadsheets further enhance the learning experience. Each chapter is followed by a number of classroom-tested exercises with solutions available on the book's web site.

Applied mathematics is a craft that requires practice--this textbook provides plenty of opportunities to practice it and teaches cutting-edge finance into the bargain. Asset pricing is a common theme throughout the book; and readers can follow the development from discrete one-period models to continuous time stochastic processes. This textbook sets itself apart by the comprehensive treatment of pricing and risk measurement in incomplete markets, an area of current research that represents the future in risk management and investment performance evaluation.

About this title

From the Back Cover

"Ales Černư's new edition of Mathematical Techniques in Finance is an excellent master's-level treatment of mathematical methods used in financial asset pricing. By updating the original edition with methods used in recent research, Černư has once again given us an up-to-date first-class textbook treatment of the subject."--Darrell Duffie, Stanford University

About the Author

Ales Cernư is Lecturer in Finance at The Business School, Imperial College London.

Edition details

• Publisher: Princeton University Press
• Publication date: 2003
• ISBN 10: 0691088071
• ISBN 13: 9780691088075
• Binding: Paperback
• Language: English
• Number of pages: 400