Introduction to the Mathematics of Finance: From Risk Management To Options Pricing

Front Cover
Springer Science & Business Media, 2004 - Business & Economics - 354 pages
1 Review
The Mathematics of Finance has become a hot topic in applied mathematics ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for upper division undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options. The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed in several chapters throughout the book, on a "need-to-know" basis. No background in finance is required, since the book also contains a chapter on options. The author is Emeritus Professor of Mathematics, having taught at a number of universities, including MIT, UC Santa Barabara, the University of South Florida and the California State University, Fullerton. He has written 27 books in mathematics at various levels and 9 books on computing. His interests lie mostly in the areas of algebra, set theory and logic, probability and finance. When not writing or teaching, he likes to make period furniture, copy Van Gogh paintings and listen to classical music. He also likes tofu.
 

What people are saying - Write a review

User Review - Flag as inappropriate

This is a good book. I really liked the way the author introduced probability and statistics then proceeded to introduce financial topics. Then re-visited probability but at a higher level then proceed back into finance. Lots of explanations, not much hand waving and some good examples.

Contents

VII
7
VIII
11
IX
15
X
16
XI
20
XII
25
XIII
29
XIV
31
LVII
214
LVIII
217
LIX
219
LX
222
LXI
224
LXII
228
LXIII
233
LXIV
237

XV
36
XVI
41
XVII
46
XVIII
52
XIX
75
XX
79
XXIII
80
XXIV
85
XXVI
89
XXVII
90
XXVIII
92
XXIX
96
XXX
99
XXXI
103
XXXII
104
XXXIII
109
XXXIV
115
XXXV
126
XXXVII
134
XXXVIII
139
XXXIX
141
XLI
144
XLII
148
XLIII
158
XLIV
163
XLV
165
XLVI
167
XLVII
177
XLVIII
182
XLIX
187
L
190
LI
193
LII
195
LIII
200
LIV
203
LV
207
LVI
210
LXV
245
LXVI
248
LXVII
253
LXVIII
258
LXIX
263
LXX
265
LXXI
266
LXXII
270
LXXIII
273
LXXIV
274
LXXV
277
LXXVI
278
LXXVIII
279
LXXIX
280
LXXX
281
LXXXI
282
LXXXII
286
LXXXIII
288
LXXXV
290
LXXXVI
295
LXXXVII
298
LXXXVIII
299
LXXXIX
300
XC
302
XCI
303
XCII
305
XCIII
306
XCIV
315
XCV
318
XCVI
321
XCVII
322
XCVIII
323
XCIX
325
C
331
CI
349
CII
351
Copyright

Other editions - View all

Common terms and phrases

About the author (2004)

Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag. He has also written Modules in Mathematics, a series of 15 small books designed for the general college-level liberal arts student. Besides his books for O'Reilly, Dr. Roman has written two other computer books, both published by Springer-Verlag.

Bibliographic information