Financial Mathematics Tutorial

Author: (English) Athanasios Papadopoulos
Publisher:
Publish Date: 2006-01-01
Features: Finance provides a vivid example of the successful application of modern mathematical techniques to real-world problems: the pricing of financial derivatives. This book can be used as an introductory textbook for financial mathematics, containing numerous exercises and examples, and is aimed at readers with a certain mathematical foundation. The book first introduces some basic concepts, such as binary trees, martingales, Brownian motion, stochastic integrals, and the Black-Scholes option pricing formula, based on a discrete-time framework. It then introduces more complex financial models and financial products. The final chapter covers more advanced topics in finance, such as jump-diffusion models for stock prices and stochastic volatility. As a foundational textbook for financial mathematics, this book is suitable for undergraduate and graduate courses in related fields, as well as for professionals in the field.