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Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 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: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then 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 valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.
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Previews available in: English
Subjects
Mathematics, Nonfiction, Prices, Business mathematics, Derivative securitiesShowing 6 featured editions. View all 6 editions?
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A Course in Financial Calculus
2007, Cambridge University Press
eBook
in English
0511252994 9780511252990
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A Course in Financial Calculus
September 16, 2002, Cambridge University Press
Hardcover
in English
0521813859 9780521813853
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A Course in Financial Calculus
July 15, 2002, Cambridge University Press
Paperback
in English
- 1st edition
0521890772 9780521890779
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Book Details
First Sentence
"In this chapter we introduce some basic definitions from finance and investigate the problem of pricing financial instruments in the context of a very crude model."
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- Created April 29, 2008
- 10 revisions
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