Mathematical Finance: Core Theory, Problems, And Statistical Algorithms

Dokuchaev, Nikolai (Author)

ISBN 10: 0415414474 / ISBN 13: 9780415414470

Published by Routledge, 2007

About this Item

1st edition. 196 pages. 9.50x6.50x0.75 inches. In Stock.

Seller Inventory # x-0415414474

Bibliographic Details

• Title: Mathematical Finance: Core Theory, Problems, And Statistical Algorithms
• Publisher: Routledge
• Publication Date: 2007
• Language: English
• ISBN 10: 0415414474
• ISBN 13: 9780415414470
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.54 kilograms

About this title

Synopsis

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes.

Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes:

• an introduction to probability theory
• a detailed study of discrete and continuous time market models
• a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing
• a detailed discussion of options and their pricing, including American options in a continuous time setting.

An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

About the Author

Nikolai Dokuchaev is Associate Professor in the Department of Mathematics, Trent University, Ontario, Canada.