000 02251nam a22003498i 4500
001 CR9780511810107
003 UkCbUP
005 20200124160316.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 101018s2002||||enk o ||1 0|eng|d
020 _a9780511810107 (ebook)
020 _z9780521813853 (hardback)
020 _z9780521890779 (paperback)
040 _aUkCbUP
_beng
_erda
_cUkCbUP
050 0 0 _aHG6024.A3
_bE84 2002
082 0 0 _a332.63/221
_221
100 1 _aEtheridge, Alison,
_eauthor.
245 1 2 _aA course in Financial calculus /
_cAlison Etheridge.
264 1 _aCambridge :
_bCambridge University Press,
_c2002.
300 _a1 online resource (viii, 196 pages) :
_bdigital, PDF file(s).
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
500 _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
520 _aFinance 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.
650 0 _aDerivative securities
_xPrices
_xMathematics.
650 0 _aBusiness mathematics.
700 1 _aBaxter, Martin,
_d1968-
_tFinancial calculus
776 0 8 _iPrint version:
_z9780521813853
856 4 0 _uhttps://doi.org/10.1017/CBO9780511810107
999 _c521454
_d521452