Pliska S.R. Introduction to Mathematical Finance: Discrete Time Models

формат djvu
размер 1.82 МБ
добавлен 05 октября 2011 г.

Blackwell Publishing Limited, 1997. - 262 pages.

Pliska's book lays out the fundamentals of discrete time models in a clear and concise manner. The book is mostly self contained and well supported with examples that enhance understanding. I read it as a part of my introductory Phd finance course along with Theory of Financial Decision Making by Ingersoll and Foundations for Financial Economics Huang & Litzenberger (not direct competitors) and found Pliska's book to be the most understandable of the three.

Похожие разделы

Смотрите также

Сapinski M., Zastawniak T. Mathematics for Finance: An Introduction to Financial Engineering

формат pdf
размер 6.5 МБ
добавлен 16 февраля 2011 г.

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest...

Achdou Y., Pironneau O. Computational Methods for Option Pricing

формат djvu
размер 3.06 МБ
добавлен 31 января 2012 г.

Society for Industrial and Applied Mathematics, 2005, -316 pp. Mathematical finance is an old science but has become a major topic for numerical analysts since Merton [97], Black-Scholes [16] modeled financial derivatives. An excellent book for the mathematical foundation of option pricing is Lamberton and Lapeyre's [85]. Since the Black-Scholes model relies on stochastic differential equations, option pricing rapidly became an attractive topic...

Bass R. The Basics of Financial Mathematics

формат pdf
размер 486.26 КБ
добавлен 24 августа 2010 г.

Department of Mathematics University of Connecticut, 2003. These are lecture notes on mathematical finance. Mathematical finance is not about predicting the price of a stock. What it is about is figuring out the price of options and derivatives. The sections of these notes can be grouped into five categories: elementary probability, the binomial asset pricing model, advanced probability, the continuous model, and term structure models.

Cerny A. Mathematical Techniques in Finance: Tools for Incomplete Markets

формат pdf
размер 2.44 МБ
добавлен 12 ноября 2011 г.

Princeton University Press, 2009. - 416 pages. Second Edition Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and...

Day A. Mastering Financial Mathematics in Microsoft Excel: A Practical Guide for Business Calculations

формат pdf
размер 13.28 МБ
добавлен 07 октября 2011 г.

Prentice Hall, 2010. - 384 pages. 2nd Edition Designed for finance directors, finance managers, analysts and decision-makers, Mastering Financial Mathematics in Microsoft Excel, is a practical guide to applying Excel for solving mathematical problems. Financial mathematics can be applied more quickly and easily in Excel than any other package, there is therefore demand for a book in this field. Will improve financial managers’ abilities w...

Joshi M.S. The Concepts of Mathematical Finance

формат pdf
размер 2.3 МБ
добавлен 12 апреля 2011 г.

M.S. Joshi, 2008. - 538 pages. An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implemen...

Lyuu Y.D. Financial Engineering and Computation - Principles, Mathematics and Algorithms

формат pdf
размер 9.5 МБ
добавлен 22 октября 2011 г.

Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. Modern Finance:A Brief History Financial Engineering and Computation Financial Markets Computer Technology Analysis of Algorithms Complexity Analysis of Algorithms Description of Algorithms Software Implementation Basic Financial Mathematics Bond Price Volatility Term Structure of Inte...

Roger P. Probability for Finance

формат pdf
размер 4.25 МБ
добавлен 06 февраля 2011 г.

BookBoon, 2010. - 115 pages. Lecture Notes from the Srasbourg Business School. This book is intented to be a technical support for students in finance. It is the reason why it is entitled "Probability for finance". Our purpose is to provide the essentials tools of probability theory useful to understand financial models. Consequently, almost all the examples illustrating probability results are taken from the fields of economics and finance. I...

Ross M.R. An Elementary Introduction to Mathematical Finance

формат pdf
размер 1.36 МБ
добавлен 06 августа 2011 г.

Cambridge University Press, 2011. - 328 pages. This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portf...

Sondermann Dieter. Introduction to Stochastic Calculus for Finance

формат pdf
размер 788.8 КБ
добавлен 08 февраля 2010 г.

The notes are based on courses offered regularly to graduate students in economics and mathematics at the University of Bonn choosing financial economics as special topic. To students interested in finance the course opens a quick (but by no means dirty) road to the tools required for advanced finance. One can start the course with what they know about real analysis (e.g. Taylor’s Theorem) and basic probability theory as usually taught in undergr...