Mathematical Finance

Author: Yong Jiongmin
Publisher:
Publish Date: 2003-05-01
Features: This book can be divided into three parts. The first part includes chapters 1 to 4, primarily introducing some basic concepts and several fundamental ideas in mathematical finance. The second part covers chapters 5 to 7, focusing on two basic problems in single-period markets: the valuation of contingent claims and the expected utility optimization problem. The third part includes chapters 8 to 11, which can be referred to as "Continuous Theory." This section discusses continuous-time securities markets within the framework of stochastic differential equations, including the self-financing property of portfolios, market completeness and arbitrage-freeness, equivalent martingale measures, the Black-Scholes European option pricing formula, American option pricing, optimal portfolios, mean-variance problems, interest rate term structures, and so on.