Mathematical Finance: A Very Short Introduction

Front Cover
Oxford University Press, 2019 - BUSINESS & ECONOMICS - 133 pages
In recent years the finance industry has mushroomed to become an important part of modern economies, and many science and engineering graduates have joined the industry as quantitative analysts, with mathematical and computational skills that are needed to solve complex problems of asset valuation and risk management. An important parallel story exists of scientific endeavour. Between 1965-1995, insightful ideas in economics about asset valuation were turned into a mathematical "theory of arbitrage," an enterprise whose first achievement was the famous 1973 Black-Scholes formula, followed by extensive investigations using all the resources of modern analysis and probability. The growth of the finance industry proceeded hand-in-hand with these developments. Now new challenges arise to deal with the fallout from the 2008 financial crisis and to take advantage of new technology, which has revolutionized the practice of trading.

This Very Short Introduction introduces readers with no previous background in this area to arbitrage theory and why it works the way it does. Illuminating pricing theory, Mark Davis explains its applications to interest rates, credit trading, fund management and risk management. He concludes with a survey of the most pressing issues in mathematical finance today.

ABOUT THE SERIES: The Very Short Introductions series from Oxford University Press contains hundreds of titles in almost every subject area. These pocket-sized books are the perfect way to get ahead in a new subject quickly. Our expert authors combine facts, analysis, perspective, new ideas, and enthusiasm to make interesting and challenging topics highly readable.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Money banking and financial markets
1
Quantifying risk
12
The classical theory of option pricing
30
Interest rates
61
Credit risk
76
Fund management
94
Risk management
106
The banking crisis and its aftermath
116
References
125
Further reading
127
Index
129
A Very Short Introduction
134
A Very Short Introduction
135
A Very Short Introduction
136
Copyright

Other editions - View all

Common terms and phrases

About the author (2019)

Professor Mark Davis is Senior Research Fellow at the Department of Mathematics at Imperial College, London. With a PhD from the University of California, Berkeley, a background in electrical engineering and computer science, and an ScD in Mathematics from Cambridge University, Professor Davisspent five years as Head of Research and Product Development at the London-based investment bank Tokyo-Mitsubishi International, before setting up a Mathematical Finance group at Imperial College London. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in2002. He is the author of six books on stochastic analysis, optimisation and finance, most recently Risk-Sensitive Investment Management (World Scientific 2014), written with Sebastien Lleo.

Bibliographic information