A Course in Financial Calculus
Editorial Reviews
Review
' ... being relatively short and a paperback must make it appealing to students and those who need a quick introduction to the material. ... nicely produced and elegantly laid out. I would consider adopting it as a text for a course in this topic. Publication of the International Statistical Institute
'This is a well written textbook which should be suitable for final year undergraduate and first year graduate students having some background in probability theory.' Klaus Schrüger, Zentralblatt MATH
' ... this is a very well-organized text that makes it easy to learn.' Journal of the Royal Statistical Society
Book Description
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.
A Course in Financial Calculus
A Course in Financial Calculus,Alison Etheridge,Cambridge University Press,0521890772,Business & Economics,Business mathematics,Business/Economics,Calculus,Derivative securities,Economics - General,Investments & Securities - General,Investments & Securities - Stocks,Mathematics,Prices,Probability & Statistics - General,Calculus & mathematical analysis,Derivative securities--Prices--Mathematics,Finance,Mathematics / Applied,Probability & statistics
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