A Course in Financial Calculus / by Alison Etheridge. [Electronic Resource]
Material type:![Computer file](/opac-tmpl/lib/famfamfam/CF.png)
- 9780511810107
- 332.63221 Et36C
Item type | Home library | Collection | Call number | Status | Notes | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|---|
![]() |
S. R. Ranganathan Learning Hub Online | Textbook | 332.63221 Et36C (Browse shelf(Opens below)) | Available | Platform : Cambridge Core | EB0407 |
Browsing S. R. Ranganathan Learning Hub shelves, Shelving location: Online, Collection: Textbook Close shelf browser (Hides shelf browser)
332.041 P637C Capital in the Twenty - First Century | 332.601 51 R71E An Elementary Introduction to Mathematical Finance : Options and other Topics | 332.63221 B335F Financial Calculus : An Introduction to Derivative Pricing | 332.63221 Et36C A Course in Financial Calculus | 332.632283 B111Q Quantum Finance | 333.79 B745H Hydropower | 333.790973 W436S Structuring An Energy Technology Revolution |
Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.
There are no comments on this title.