Financial Mathematics

Regular price €69.99
A01=Giuseppe Campolieti
A01=Roman N. Makarov
acturial sciences
Admissible Portfolios
Age Group_Uncategorized
Age Group_Uncategorized
American Option
Author_Giuseppe Campolieti
Author_Roman N. Makarov
automatic-update
Bermudan Option
Black Scholes PDE
Category1=Non-Fiction
Category=KCH
Category=KCHS
Category=KF
Category=PBT
Category=PBW
CEV Model
CEV Process
Compound Poisson Process
COP=United Kingdom
Delivery_Pre-order
derivatives
Early Exercise Boundary
Early Exercise Options
Early Exercise Premium
eq_business-finance-law
eq_isMigrated=2
eq_new_release
eq_non-fiction
finance
GBM Model
Giuseppe Campolieti
Heston Model
Language_English
Local Volatility
Local Volatility Model
Minimum Variance Portfolio
Optimal Exercise Boundary
Optimal Exercise Time
PA=Not yet available
Poisson Process
portfolio management
Price_€50 to €100
pricing and management of financial securities
PS=Forthcoming
Risk Free Asset
Roman N. Makarov
Smooth Pasting Condition
softlaunch
Standard Black Scholes Model
Standard European Option
stochastic processes
Transition PDF
Underlying Asset Price Process
Vg Process

Product details

  • ISBN 9781032917450
  • Weight: 1540g
  • Dimensions: 178 x 254mm
  • Publication Date: 14 Oct 2024
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
  • Language: English
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Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels

Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.

With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.

Roman N. Makarov, Giuseppe Campolieti