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Financial Mathematics: A Comprehensive Treatment

Giuseppe Campolieti and Roman N. Makarov
Publisher: 
Chapman & Hall/CRC
Publication Date: 
2014
Number of Pages: 
805
Format: 
Hardcover
Series: 
Chapman & Hall/CRC Financial Mathematics Series
Price: 
89.95
ISBN: 
9781439892428
Category: 
Textbook
We do not plan to review this book.

INTRODUCTION TO PRICING AND MANAGEMENT OF FINANCIAL SECURITIES
Mathematics of Compounding
Primer on Pricing Risky Securities
Portfolio Management
Primer on Derivative Securities

DISCRETE-TIME MODELING
Single-Period Arrow-Debreu Models
Introduction to Discrete-Time Stochastic Calculus
Replication and Pricing in the Binomial Tree Model
General Multi-Asset Multi-Period Model

CONTINUOUS-TIME MODELING
Essentials of General Probability Theory
One-Dimensional Brownian Motion and Related Processes
Introduction to Continuous-Time Stochastic Calculus
Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock
Risk-Neutral Pricing in a Multi-Asset Economy
American Options
Alternative Models of Asset Price Dynamics
Interest-Rate Modeling and Derivative Pricing

COMPUTATIONAL TECHNIQUES
Introduction to Monte Carlo and Simulation Methods
Numerical Applications to Derivative Pricing

Appendix: Some Useful Integral Identities and Symmetry Properties of Normal Random Variables

Glossary of Symbols and Abbreviations

References

Index