A course in financial calculus

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A course in financial calculus

A course in financial calculus

Name: A course in financial calculus
ISBN: 9780521890779

Alison Etheridge

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This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

Kategoriler:

Mathematics

Yıl:

2002

Yayımcı:

CUP

Dil:

english

Sayfalar:

206

ISBN 10:

0521890772