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 mode
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 rates and their term structure. Assuming only a basic
knowledge of probability and calculus, it covers the material in a
mathematically rigorous and complete way at a level accessible to
second or third year undergraduate students. The text is
interspersed with a multitude of worked examples and exercises, so
it is ideal for self-study and suitable not only for students of
mathematics, but also students of business management, finance and
economics, and anyone with an interest in finance who needs to
understand the underlying theory.
Table of Contents.
Introduction: A Simple Market Model.
Risk-Free Assets.
Risky Assets.
Discrete Time Market Models.
Portfolio Management.
Forward and Futures Contracts.
Options: General Properties.
Option Pricing.
Financial Engineering.
ariable Interest Rates.
Stochastic Interest Rates.
Table of Contents.
Introduction: A Simple Market Model.
Risk-Free Assets.
Risky Assets.
Discrete Time Market Models.
Portfolio Management.
Forward and Futures Contracts.
Options: General Properties.
Option Pricing.
Financial Engineering.
ariable Interest Rates.
Stochastic Interest Rates.