|aFinancial mathematics :|ba comprehensive treatment /|cby Giuseppe Campolieti, Roman N. Makarov.
|aBoca, Raton :|bCRC Press,|cc2014.
|aBoca Raton ;|aLondon :|bCRC Press,|c
|axxvi, 805 p. :|bill. ;|c26 cm.
|aIncludes bibliographical references and index.
|aI. Introduction to pricing and management of financial securites: Mathematics of Compounding -- Primer on Pricing Risky Securities -- Portfolio Management -- Primer on Derivative Securities -- II. 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 -- III. 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 -- Interest-Rate Modelling and Derivative Pricing -- Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- Introduction to Monte Carlo and Simulation Methods -- Numerical Applications to Derivative Pricing.
內容簡介top Financial Mathematics 簡介 This text offers a comprehensive, self-contained, and unified treatment of the theory and application of mathematical methods behind modern-day financial mathematics. It introduces the financial theory and the relevant mathematical methods in a mathematically rigorous yet student-friendly and engaging style. The text provides complete and in-depth coverage of both discrete- and continuous-time financial models and pricing theory. It also includes numerous examples, exercises, fully worked out solutions, and multiple problem-solving approaches. A solutions manual is available upon qualifying course adoption.