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Undergraduate Texts in Mathematics Ser.: Introduction to the Mathematics of Finance : From Risk Management to Options Pricing by Steven Roman (2004, Trade Paperback)

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Publication Date : Aug 10 2004. May not include working access code. Will not include dust jacket.

About this product

Product Identifiers

PublisherSpringer New York

ISBN-100387213643

ISBN-139780387213644

eBay Product ID (ePID)30775670

Product Key Features

Number of PagesXv, 356 Pages

LanguageEnglish

Publication NameIntroduction to the Mathematics of Finance : from Risk Management to Options Pricing

Publication Year2004

SubjectInvestments & Securities / Portfolio Management, Finance / General, Probability & Statistics / General, Investments & Securities / Options, Applied, Investments & Securities / General

TypeTextbook

AuthorSteven Roman

Subject AreaMathematics, Business & Economics

SeriesUndergraduate Texts in Mathematics Ser.

FormatTrade Paperback

Dimensions

Item Weight40.9 Oz

Item Length9.3 in

Item Width6.1 in

Additional Product Features

Intended AudienceScholarly & Professional

LCCN2004-046863

ReviewsFrom the reviews of the first edition: "The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. ... The mathematics is not watered down but is appropriate for the intended audience. ... No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004) "The book is basically a textbook on the mathematics of financial derivatives on equity ... . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005), From the reviews of the first edition: "The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. â€¦ The mathematics is not watered down but is appropriate for the intended audience. â€¦ No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004) "The book is basically a textbook on the mathematics of financial derivatives on equity â€¦ . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005), From the reviews of the first edition: "The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. a? The mathematics is not watered down but is appropriate for the intended audience. a? No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004) "The book is basically a textbook on the mathematics of financial derivatives on equity a? . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005), From the reviews of the first edition:"The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. â€¦ The mathematics is not watered down but is appropriate for the intended audience. â€¦ No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004)"The book is basically a textbook on the mathematics of financial derivatives on equity â€¦ . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005)

Dewey Edition22

Number of Volumes1 vol.

IllustratedYes

Dewey Decimal332/.01/513

Table Of ContentPreface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.

SynopsisHere is an elementary introduction to probability and mathematical finance. It details discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. Coverage also examines American options and the Capital Asset Pricing Model (CAPM). No background in finance is needed, since the book also contains a chapter on options., The Mathematics of Finance has become a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options. The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book also contains a chapter on options., The Mathematics of Finance has become a hot topic in applied mathematics ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate texts in this area. This book is specifically written for upper division undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model., An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists. Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.

LC Classification NumberH61.25