Introduction to Mathematical Finance

David C. Heath

ISBN 10: 082180751X / ISBN 13: 9780821807514

Published by American Mathematical Society, US, 2000

About this Item

The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, ""Theorie de la speculation"". In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand.This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.

Seller Inventory # LU-9780821807514

Bibliographic Details

• Title: Introduction to Mathematical Finance
• Publisher: American Mathematical Society, US
• Publication Date: 2000
• Language: English
• ISBN 10: 082180751X
• ISBN 13: 9780821807514
• Binding: Hardback
• Condition: New
• Weight: 567 grams

About this title

Synopsis

Papers from a January 1997 meeting look at issues including quantitative methods for portfolio management, option pricing and the mathematical theory of risk, and non-arbitrage and the fundamental theorem of asset pricing. Other subjects are models for the evolution of the term structure of interest rates, transition densities for interest rate and other nonlinear diffusions, and transaction costs in portfolio management and derivative pricing. Annotation c. Book News, Inc., Portland, OR (booknews.com)