Introduction to the Mathematics of Finance: From Risk Management to Options Pricing / Edition 1

by Steven Roman

Overview

An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists.

Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.

Product Details

ISBN-13:	9780387213644
Publisher:	Springer New York
Publication date:	08/10/2004
Series:	Undergraduate Texts in Mathematics
Edition description:	2004
Pages:	356
Product dimensions:	6.10(w) x 9.25(h) x 0.03(d)

About the Author

Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag. He has also written Modules in Mathematics, a series of 15 small books designed for the general college-level liberal arts student. Besides his books for O'Reilly, Dr. Roman has written two other computer books, both published by Springer-Verlag.

Table of Contents

Preface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.

Editorial Reviews

From the reviews of the first edition:

"The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. … The mathematics is not watered down but is appropriate for the intended audience. … No background in finance is required, since the book also contains a chapter on options." (L'ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004)

"The book is basically a textbook on the mathematics of financial derivatives on equity … . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed." (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005)

From the Publisher