Financial mathematics
Subtitle: a comprehensive treatment
By: Giuseppe Campolieti, Roman N. Makarov
Contributors: Makarov, Roman N.
Series: Chapman & Hall/CRC financial mathematics series
Publisher: CRC Press
Published: 2014
Place of publication: Boca Raton; London
Language: eng
Number of pages: 805
ISBN-13: 9781439892428; 9781439892435
Subjects: Finance; Mathematical models
Notes: Includes bibliographical references and index.
Table of contents: title: I. Introduction to pricing and management of financial securites: Mathematics of Compounding; title: Primer on Pricing Risky Securities; title: Portfolio Management; title: Primer on Derivative Securities; title: II. Discrete-time modeling: Single-Period Arrow-Debreu Models; title: Introduction to Discrete-Time Stochastic Calculus; title: Replication and Pricing in the Binomial Tree Model; title: General Multi-Asset Multi-Period Model; title: III. Continuous-time modeling: Essentials of General Probability Theory; title: One-Dimensional Brownian Motion and Related Processes; title: Introduction to Continuous-Time Stochastic Calculus; title: Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock; title: Risk-Neutral Pricing in a Multi-Asset Economy; title: American Options; title: Interest-Rate Modelling and Derivative Pricing; title: Alternative Models of Asset Price Dynamics; title: IV. Computational Techniques; title: Introduction to Monte Carlo and Simulation Methods; title: Numerical Applications to Derivative Pricing.