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Author: A. J. Roberts
Publisher: SIAM
Published: 2009-01-01
Total Pages: 143
ISBN-13: 0898718228
DOWNLOAD EBOOK →Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.
Author: A. J. Roberts
Publisher: SIAM
Published: 2009-03-12
Total Pages: 140
ISBN-13: 0898716675
DOWNLOAD EBOOK →Financial mathematics and its calculus introduced in an accessible manner for undergraduate students.
Author: Thomas Mikosch
Publisher: World Scientific
Published: 1998
Total Pages: 230
ISBN-13: 9789810235437
DOWNLOAD EBOOK →Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.
Author: Fima C. Klebaner
Publisher: Imperial College Press
Published: 2005
Total Pages: 431
ISBN-13: 1860945554
DOWNLOAD EBOOK →This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Author: Marek Capinski
Publisher: Springer
Published: 2006-04-18
Total Pages: 317
ISBN-13: 1852338466
DOWNLOAD EBOOK →This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Author: J. Robert Buchanan
Publisher: World Scientific
Published: 2008
Total Pages: 372
ISBN-13: 9812835350
DOWNLOAD EBOOK →"This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three or four semester sequence of calculus courses. It introduces the theory of interest, random variables and probability, stochastic processes, arbitrage, option pricing, hedging, and portfolio optimization. The student progresses from knowing only elementary calculus to understanding the derivation and solution of the Black-Scholes partial differential equation and its solutions. This is one of the few books on the subject of financial mathematics which is accessible to undergraduates having only a thorough grounding in elementary calculus. It explains the subject matter without 'hand waving' arguments and includes numerous examples. Every chapter concludes with a set of exercises which test the chapter's concepts and fill in details of derivations." -- Publisher's description.
Author: J. Michael Steele
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 303
ISBN-13: 1468493051
DOWNLOAD EBOOK →Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author: Paul Malliavin
Publisher: Springer Science & Business Media
Published: 2006-02-25
Total Pages: 148
ISBN-13: 3540307990
DOWNLOAD EBOOK →Highly esteemed author Topics covered are relevant and timely
Author: Sheldon M. Ross
Publisher: Cambridge University Press
Published: 2011-02-28
Total Pages: 323
ISBN-13: 1139498037
DOWNLOAD EBOOK →This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this third edition are new chapters on Brownian motion and geometric Brownian motion, stochastic order relations and stochastic dynamic programming, along with expanded sets of exercises and references for all the chapters.
Author: Paul Wilmott
Publisher: Cambridge University Press
Published: 1995-09-29
Total Pages: 338
ISBN-13: 9780521497893
DOWNLOAD EBOOK →Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.
