An Undergraduate Introduction to Financial Mathematics

Nonfiction, Science & Nature, Mathematics, Calculus, Applied, Technology
Cover of the book An Undergraduate Introduction to Financial Mathematics by J Robert Buchanan, World Scientific Publishing Company
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Author: J Robert Buchanan ISBN: 9789814365321
Publisher: World Scientific Publishing Company Publication: September 29, 2008
Imprint: WSPC Language: English
Author: J Robert Buchanan
ISBN: 9789814365321
Publisher: World Scientific Publishing Company
Publication: September 29, 2008
Imprint: WSPC
Language: English

This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three- or four-semester sequence of calculus courses.

It introduces the Theory of Interest, discrete and continuous random variables and probability, stochastic processes, linear programming, the Fundamental Theorem of Finance, option pricing, hedging, and portfolio optimization. The reader progresses from a solid grounding in multi-variable calculus through a derivation of the Black–Scholes equation, its solution, properties, and applications.

Contents:

  • The Theory of Interest
  • Discrete Probability
  • Normal Random Variables and Probability
  • The Arbitrage Theorem
  • Random Walks and Brownian Motion
  • Forwards and Futures
  • Options
  • Solution of the Black–Scholes Equation
  • Derivatives of Black–Scholes Option Prices
  • Hedging
  • Optimizing Portfolios
  • American Options

Readership: Undergraduate students in economics, finance and applied mathematics; professionals in banking, insurance and finance.
Key Features:

  • Expands on the first edition by including new chapters on futures and forwards and American-style options, as well as new exercises and examples
  • Self-contained text, not relying on advanced mathematical and statistical topics
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three- or four-semester sequence of calculus courses.

It introduces the Theory of Interest, discrete and continuous random variables and probability, stochastic processes, linear programming, the Fundamental Theorem of Finance, option pricing, hedging, and portfolio optimization. The reader progresses from a solid grounding in multi-variable calculus through a derivation of the Black–Scholes equation, its solution, properties, and applications.

Contents:

Readership: Undergraduate students in economics, finance and applied mathematics; professionals in banking, insurance and finance.
Key Features:

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