Financial Mathematics

Résumé
This textbook provides complete coverage of discrete-time financial models that form the cornerstones of financial derivative pricing theory.

Contenu

Volume 1:
Preface

I Introduction to Pricing and Management of Financial Securities

1 Mathematics of Compounding
2 Primer on Pricing Risky Securities

3 Portfolio Management

4 Primer on Derivative Securities

II Discrete-Time Modelling

5 Single-Period ArrowDebreu Models

6 Introduction to Discrete-Time Stochastic Calculus

7 Replication and Pricing in the Binomial Tree Model

8 General Multi-Asset Multi-Period Model

Appendices

A Elementary Probability Theory

B Glossary of Symbols and Abbreviations

C Answers and Hints to Exercises

References

Index