Mathematics for finance: an introduction to financial engineering

By:

Capinski, Marek

Contributor(s):

Zastawniak, Tomasz

Material type: Text

TextPublication details: Springer London 2011Edition: 2ndDescription: xiii, 336 pISBN:

9780857290816

Subject(s):

DDC classification:

332.60151 CAP

Summary: About this book As with the first edition, Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and the Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting. In this second edition, the material has been thoroughly revised and rearranged. New features include: • A case study to begin each chapter – a real-life situation motivating the development of theoretical tools; • A detailed discussion of the case study at the end of each chapter; • A new chapter on time-continuous models with intuitive outlines of the mathematical arguments and constructions; • Complete proofs of the two fundamental theorems of mathematical finance in discrete setting.

List(s) this item appears in: Finance & Accounting | HR & OB

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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	332.60151 CAP (Browse shelf(Opens below))	1	Checked out	02/10/2025	001759

About this book
As with the first edition, Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and the Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting.

In this second edition, the material has been thoroughly revised and rearranged. New features include:

• A case study to begin each chapter – a real-life situation motivating the development of theoretical tools;

• A detailed discussion of the case study at the end of each chapter;

• A new chapter on time-continuous models with intuitive outlines of the mathematical arguments and constructions;

• Complete proofs of the two fundamental theorems of mathematical finance in discrete setting.

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