A Course in Financial Calculus

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Cambridge University Press, Aug 15, 2002 - Business & Economics - 196 pages
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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.
 

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Contents

z Binomial trees and discrete parameter martingales
21
Brownian motion
51
Stochastic calculus
102
The BlackScholes model
112
Different payoffs
139
Bigger models
159
Bibliography
189
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Wahrscheinlichkeitstheorie
Achim Klenke
No preview available - 2008
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