Mathematics for Finance
An Introduction to Financial Engineering
Seiten
2003
|
4th Revised edition
Springer London Ltd (Verlag)
978-1-85233-330-0 (ISBN)
Springer London Ltd (Verlag)
978-1-85233-330-0 (ISBN)
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Contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. This book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), and modelling in discrete time, pricing and hedging.
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest rates and their term structure. Assuming only a basic knowledge of probability and calculus, it covers the material in a mathematically rigorous and complete way at a level accessible to second or third year undergraduate students. The text is interspersed with a multitude of worked examples and exercises, so it is ideal for self-study and suitable not only for students of mathematics, but also students of business management, finance and economics, and anyone with an interest in finance who needs to understand the underlying theory.
Introduction: A Simple Market Model.- Risk-Free Assets.- Risky Assets.- Discrete Time Market Models.- Portfolio Management.- Forward and Futures Contracts.- Options: General Properties.- Option Pricing.- Financial Engineering.- Variable Interest Rates.- Stochastic Interest Rates.- Solutions.- Bibliography.- Glossary of Symbols.- Index.
| Erscheint lt. Verlag | 11.7.2003 |
|---|---|
| Reihe/Serie | Springer Undergraduate Mathematics Series (SUMS) |
| Zusatzinfo | 75 black & white illustrations |
| Verlagsort | England |
| Sprache | englisch |
| Maße | 178 x 235 mm |
| Gewicht | 557 g |
| Einbandart | Paperback |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| ISBN-10 | 1-85233-330-8 / 1852333308 |
| ISBN-13 | 978-1-85233-330-0 / 9781852333300 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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