Financial Calculus

An Introduction to Derivative Pricing

Author: Martin Baxter

Publisher: Cambridge University Press

ISBN:

Category: Business & Economics

Page: 233

View: 291

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

A Course in Financial Calculus

Author: Alison Etheridge

Publisher: Cambridge University Press

ISBN:

Category: Business & Economics

Page: 196

View: 451

A text for first courses in financial calculus; lots of examples and exercises, first published in 2002.

Elementary Stochastic Calculus with Finance in View

Author: Thomas Mikosch

Publisher: World Scientific

ISBN:

Category: Mathematics

Page: 212

View: 708

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.

Introduction to Stochastic Calculus Applied to Finance, Second Edition

Author: Damien Lamberton

Publisher: CRC Press

ISBN:

Category: Mathematics

Page: 200

View: 209

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.

Islamic Finance

Law, Economics, and Practice

Author: Mahmoud A. El-Gamal

Publisher: Cambridge University Press

ISBN:

Category: Business & Economics

Page:

View: 126

This book provides an overview of the practice of Islamic finance and the historical roots that define its modes of operation. The focus of the book is analytical and forward-looking. It shows that Islamic finance exists mainly as a form of rent-seeking legal-arbitrage. In every aspect of finance - from personal loans to investment banking, and from market structure to corporate governance - Islamic finance aims to replicate in Islamic forms the substantive functions of contemporary financial instruments, markets, and institutions. By attempting to replicate the substance of contemporary financial practice using pre-modern contract forms, Islamic finance has arguably failed to serve the objectives of Islamic law. This book proposes refocusing Islamic finance on substance rather than form. This approach would entail abandoning the paradigm of 'Islamization' of every financial practice. It would also entail reorienting the brand-name of Islamic finance to emphasize issues of community banking, micro-finance, and socially responsible investment.

Stochastic Calculus and Financial Applications

Author: J. Michael Steele

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 302

View: 731

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

Elementary Calculus of Financial Mathematics

Author: A. J. Roberts

Publisher: SIAM

ISBN:

Category: Calculus

Page: 128

View: 948

Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.

Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

Author: Steven Shreve

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 187

View: 767

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

Author: Yu. Kabanov

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 633

View: 188

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

Telegraph Processes and Option Pricing

Author: Alexander D. Kolesnik

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 128

View: 712

The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed. The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.