Mathematical Finance

Mathematical Finance

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Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes. Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes: an introduction to probability theory a detailed study of discrete and continuous time market models a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing a detailed discussion of options and their pricing, including American options in a continuous time setting. An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.... and where so many problems are still unsolved. In other words, we want to help readers who intend to do research in Mathematical Finance. ... For this purpose, a set of special challenging problems is given for all main topics.2 The author believes that ability to solve these problems indicates that one is capable of steps toward original research projects. To keep the course compact, we concentrate onanbsp;...


Title:Mathematical Finance
Author: Nikolai Dokuchaev
Publisher:Routledge - 2007-03-12
ISBN-13:

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