Financial mathematics Vol. II: a comprehensive treatment in continuous time

By:

Campolieti, Giuseppe

Contributor(s):

Makarov, Roman N

Material type: Text

TextSeries: Textbooks in MathematicsPublication details: CRC Press Boca Raton 2023Description: xvii, 492 pISBN:

9781138603639

Subject(s):

Finance mathematical models

DDC classification:

320.015195 CAM

Summary: The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press. (https://www.routledge.com/Financial-Mathematics-A-Comprehensive-Treatment-in-Continuous-Time-Volume-II/Campolieti-Makarov/p/book/9781138603639)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	320.015195 CAM (Browse shelf(Opens below))	1	Available		006721

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Table of content:
Part I: Stochastic Calculus with Brownian Motion

1. One-Dimensional Brownian Motion and Related Processes

2. Introduction to Continuous-Time Stochastic Calculus

Part II Continuous-Time Modelling

3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock

4. Risk-Neutral Pricing in a Multi-Asset Economy

5. American Options

6. Interest-Rate Modelling and Derivative Pricing

7. Alternative Models of Asset Price Dynamics

A. Essentials of General Probability Theory

B. Some Useful Integral (Expectation) Identities and Symmetry Properties

of Normal Random Variables

C. Answers and Hints to Exercises

D. Glossary of Symbols and Abbreviations

Greek Alphabet

References

Index
[https://www.routledge.com/Financial-Mathematics-A-Comprehensive-Treatment-in-Continuous-Time-Volume-II/Campolieti-Makarov/p/book/9781138603639]

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way.

This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives.

Key features:

In-depth coverage of continuous-time theory and methodology

Numerous, fully worked out examples and exercises in every chapter

Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts

Judicious balance of financial theory and mathematical methods

Guide to Material
This revision contains:

Almost 150 pages worth of new material in all chapters

A appendix on probability theory

An expanded set of solved problems and additional exercises

Answers to all exercises
This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics.

The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
(https://www.routledge.com/Financial-Mathematics-A-Comprehensive-Treatment-in-Continuous-Time-Volume-II/Campolieti-Makarov/p/book/9781138603639)

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