Introduction to the mathematics of finance : from risk management to options pricing / Steven Roman.
Material type:
TextSeries: Undergraduate texts in mathematicsPublisher: New York : Springer, [2004]Copyright date: ©2004Description: xiv, 354 pages : illustrations ; 25 cmContent type: - text
- unmediated
- volume
- 0387213759
- 9780387213750
- 0387213643
- 9780387213644
- 332.01513 22
- HG4515.3 .R66 2004
| Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|
| Book | City Campus City Campus Main Collection | 332.01513 ROM (Browse shelf(Opens below)) | 1 | Available | A326343B |
Browsing City Campus shelves, Shelving location: City Campus Main Collection Close shelf browser (Hides shelf browser)
| 332.015118 MAC The Fisher model and financial markets / | 332.015118 MUS Martingale methods in financial modelling / | 332.015118 SHI Finance in continuous time : a primer / | 332.01513 ROM Introduction to the mathematics of finance : from risk management to options pricing / | 332.01513 ROM Introduction to the mathematics of finance : arbitrage and option pricing / | 332.01513 WIL Introduction to the mathematics of finance / | 332.01519 DIN Probability theory in finance : a mathematical guide to the Black-Scholes formula / |
Includes bibliographical references (pages 349-350) and index.
Notation key and Greek alphabet -- 1. Probability I : an introduction to discrete probability -- 2. Portfolio management and the capital asset pricing model -- 3. Background on options -- 4. An aperitif on arbitrage -- 5. Probability II : more discrete probability -- 6. Discrete-time pricing models -- 7. The Cox-Ross-Rubinstein model -- 8. Probability III : continuous probability -- 9. The Black-Scholes option pricing formula -- 10. Optimal stopping and American options -- App. A. Pricing nonattainable alternatives in an incomplete market -- App. B. Convexity and the separation theorem.
"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 formula as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options."--BOOK JACKET.
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