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001 978-1-4614-3582-2
003 DE-He213
005 20140220083248.0
007 cr nn 008mamaa
008 120423s2012 xxu| s |||| 0|eng d
020 _a9781461435822
_9978-1-4614-3582-2
024 7 _a10.1007/978-1-4614-3582-2
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aRoman, Steven.
_eauthor.
245 1 0 _aIntroduction to the Mathematics of Finance
_h[electronic resource] :
_bArbitrage and Option Pricing /
_cby Steven Roman.
250 _a2nd ed. 2012.
264 1 _aNew York, NY :
_bSpringer New York,
_c2012.
300 _aXVI, 287p. 49 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aUndergraduate Texts in Mathematics,
_x0172-6056
505 0 _aPreface -- Notation Key and Greek Alphabet -- 0 Introduction -- Part 1 Options and Arbitrage -- 1 Background on Options -- 2 An Aperitif on Arbitrage -- Part 2 Discrete-Time Pricing Models -- 3 Discrete Probability -- 4 Stochastic Processes, Filtrations and Martingales -- 5 Discrete-Time Pricing Models -- 6 The Binomial Model -- 7 Pricing Nonattainable Alternatives in an Incomplete Market -- 8 Optimal Stopping and American Options -- Part 3 the Black-Scholes Option Pricing Formula -- 9 Continuous Probability -- 10 The Black-Scholes Option Pricing Formula -- Appendix A: Convexity and the Separation Theorem -- Appendix B: Closed, Convex Cones -- Selected Solutions -- References -- Index.
520 _aThe Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. This book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. This second edition is a complete rewrite of the first edition with significant changes to the topic organization, thus making the book flow much more smoothly. Several topics have been expanded such as the discussions of options, including the history of options, and pricing nonattainable alternatives. In this edition the material on probability has been condensed into fewer chapters, and the material on the capital asset pricing model has been removed. The mathematics is not watered down, but it is appropriate for the intended audience. Previous knowledge of measure theory is not needed and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book contains a chapter on options.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aFinance/Investment/Banking.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781461435815
830 0 _aUndergraduate Texts in Mathematics,
_x0172-6056
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4614-3582-2
912 _aZDB-2-SMA
999 _c101400
_d101400