Developed from the esteemed author¿s advanced undergraduate and graduate courses at the University of Cambridge, this text provides a hands-on, sound introduction to mathematical finance. Assuming no prior knowledge of stochastic calculus or measure-theoretic probability, the author includes the relevant mathematical background as well as many exercises with solutions. He first presentsthe classical topics of utility and the mean-variance approach to portfolio choice. Focusing on derivative pricing, the text then covers the binomial model, the general discrete-time model, Brownian motion, the Black¿Scholes model and various interest-rate models.
- ISBN: 978-1-4200-9345-2
- Editorial: Chapman & Hall/CRC Statistics and Mathem
- Encuadernacion: Cartoné
- Páginas: 264
- Fecha Publicación: 15/03/2010
- Nº Volúmenes: 1
- Idioma: Inglés