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Bedrijfswiskunde --- Business mathematics --- Mathématiques appliquées --- Mathématiques financières --- Toegepaste wiskunde --- Mathématiques financières --- Amortissement --- Depreciation --- economics --- Interest rates --- Capital

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Mathematics --- Mathématiques --- Early works to 1800 --- Ouvrages avant 1800 --- Mathématiques --- Mathématiques financières. --- Arithmétique --- Histoire --- Histoire. --- Mathématiques financières. --- Arithmétique

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Finance 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.

International finance --- Actuarial mathematics --- Derivative securities --- Business mathematics --- Mathématiques financières --- Prices --- Mathematics --- Mathematical Sciences --- General and Others --- Business mathematics. --- Mathematics.

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Actuarial mathematics --- Business mathematics --- Insurance --- 368 --- Actuarial science --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Finance --- Mathematics --- 368 Verzekeringswezen --- Verzekeringswezen --- Assurance --- Mathématiques financières --- Mathématiques --- Mathématiques

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Students and instructors alike will benefit from this rigorous, unfussy text, which keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence and conditioning. Assuming only some calculus and linear algebra, the text develops key results of measure and integration, which are applied to probability spaces and random variables, culminating in central limit theory. Consequently it provides essential prerequisites to graduate-level study of modern finance and, more generally, to the study of stochastic processes. Results are proved carefully and the key concepts are motivated by concrete examples drawn from financial market models. Students can test their understanding through the large number of exercises and worked examples that are integral to the text.

Business mathematics --- Probabilities --- Mathématiques financières --- Probabilités --- mathematics Business --- Probabilities. --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Business mathematics. --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Finance