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Introductory Course on Financial Mathematics
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Artikel-Nr:
9781908977380
Veröffentl:
2013
Einband:
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Erscheinungsdatum:
23.07.2013
Seiten:
278
Autor:
M. V. Tretyakov
Gewicht:
559 g
Format:
235x157x20 mm
Sprache:
Englisch
Beschreibung:
This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple but widely used financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to utilise this book.
Financial Instruments and Arbitrage: Time Value of Money; Forwards, Futures and Arbitrage; Bonds and Swaps; European Options; Discrete-Time Stochastic Modeling and Pricing Options: Binary Model of Price Evolution; Elements of Probability Theory; Discrete-Time Stochastic Processes; Application of Martingales and First Fundamental Theorem of Asset Pricing; Pricing and Hedging European Options on Binary Trees; Complete and Incomplete Markets; Capital Asset Pricing Model; American Options; Continuous-Time Stochastic Modelling and Black-Scholes Formula: Efficient Market Hypothesis; Probabilistic Model for Experiments with Infinitely Many Outcomes; Central Limit Theorem and Its Application; Wiener Process; Geometric Brownian Motion; Ito Integral and Stochastic Differential Equation; Ito Formula; Black-Scholes Equation; Greeks.