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Introduction to the Mathematics of Finance

From Risk Management to Options Pricing

Steven Roman (Autor)

Buch | Softcover

356 Seiten

2004 | 2004 ed.
Springer-Verlag New York Inc.
978-0-387-21364-4 (ISBN)

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Presents an elementary introduction to probability and mathematical finance. This book details discrete derivative pricing models, culminating in a derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. It examines American options and the Capital Asset Pricing Model.

An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists.

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.

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.

Preface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.

Reihe/Serie	Undergraduate Texts in Mathematics
Zusatzinfo	XV, 356 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Gewicht	1160 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Naturwissenschaften ► Physik / Astronomie
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-387-21364-3 / 0387213643
ISBN-13	978-0-387-21364-4 / 9780387213644
Zustand	Neuware