Undergraduate Introduction to Financial Mathematics

ISBN-10: 9814407445
ISBN-13: 9789814407441
Edition: 3rd 2012
List price: $74.00 Buy it from $35.40
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Description: 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.

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Book details

List price: $74.00
Edition: 3rd
Copyright year: 2012
Publisher: World Scientific Publishing Co Pte Ltd
Publication date: 7/31/2012
Binding: Hardcover
Pages: 480
Size: 6.25" wide x 9.25" long x 1.25" tall
Weight: 1.782
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.

Preface
Preface to the Second Editions
Preface to the First Edition
The Theory of Interest
Simple Interest
Compound Interest
Continuously Compounded Interest
Present Value
Time-Varying Interest Rates
Rate of Return
Continuous Income Streams
Exercises
Discrete Probability
Events and Probabilities
Addition Rule
Conditional Probability and Multiplication Rule
Random Variables and Probability Distributions
Binomial Random Variables
Expected Value
Variance and Standard Deviation
Exercises
Normal Random Variables and Probability
Continuous Random Variables
Expected Value of Continuous Random Variables
Variance and Standard Deviation
Normal Random Variables
Central Limit Theorem
Lognormal Random Variables
Properties of Expected Value
Properties of Variance
Exercises
The Arbitrage Theorem
The Concept of Arbitrage
An Introduction to Linear Programming
Dual Problems
The Fundamental Theorem of Finance
Exercises
Random Walks and Brownian Motion
Intuitive Idea of a Random Walk
Discrete Random Walks
First Step Analysis
Continuous Random Walks
The Stochastic Integral
Continuous Random Walks with Drift
It� Processes
It�'s Lemma
Stock Market Example
Exercises
Forwards and Futures
Definition of a Forward Contract
Pricing a Forward Contract
Dividends and Pricing
Incorporating Transaction Costs
Futures
Exercises
Options
Properties of Options
Including the Effects of Dividends
Pricing an Option Using a Binary Model
Black-Scholes Partial Differential Equation
Boundary and Initial Conditions
Option Strategies
Exercises
Solution of the Black-Scholes Equation
Fourier Transforms
Inverse Fourier Transforms
Changing Variables in the Black-Scholes PDE
Solving the Black-Scholes Equation
Binomial Model (Optional)
Exercises
Derivatives of Black-Scholes Option Prices
Theta
Delta
Gamma
Vega
Rho
Relationships Between �, �, and �
Exercises
Hedging
General Principles
Delta Hedging
Delta Neutral Portfolios
Gamma Neutral Portfolios
Exercises
Extensions of the Black-Scholes Model
Options on Stocks Paying Continuous Dividends
Options on Stocks Paying Discrete Dividends
Exercises
Optimizing Portfolios
Covariance and Correlation
Optimal Portfolios
Utility Functions
Expected Utility
Portfolio Selection
Minimum Variance Analysis
Mean-Variance Analysis
Exercises
American Options
Parity and American Options
American Puts Valued by a Binomial Model
Properties of the Binomial Pricing Formula
Optimal Exercise Time
Exercises
Sample Stock Market Data
Solutions to Chapter Exercises
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
Extensions of the Black-Scholes Model
Optimizing Portfolios
American Options
Bibliography
Index

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