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Financial Mathematics: A Comprrehensive 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
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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

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