Introduction to the Mathematics of Finance

From Risk Management to Options Pricing

Steven Roman (Autor)

Buch | Hardcover

376 Seiten

2004
Springer-Verlag New York Inc.
978-0-387-21375-0 (ISBN)

Infos

An introduction to probability and mathematical finance. It 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. It contains a chapter on options.

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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.

Autor

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.

Inhalt

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.

Produkt-Details

• Erscheint lt. Verlag: 30.8.2004
• Reihe/Serie: Undergraduate Texts in Mathematics
• Zusatzinfo: 10 black & white illustrations
• Verlagsort: New York, NY
• Sprache: englisch
• Maße: 156 x 234 mm
• Gewicht: 703 g
• Einbandart: gebunden
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• ISBN-10: 0-387-21375-9 / 0387213759
• ISBN-13: 978-0-387-21375-0 / 9780387213750
• Zustand: Neuware