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International financial management --- International finance --- Actuarial mathematics --- Interest rate futures --- -332.632 --- Futures, Interest rate --- Options (Finance) --- Mathematical models --- Interest rates --- Taux d'intérêt --- Options (Finances) --- Modèles mathématiques --- Instruments financiers --- Taux d'intérêt --- Options (Finance) - Mathematical models - Mathematical models --- Interest rate futures - Mathematical models

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This mathematically elementary introduction to the theory of options pricing presents the Black-Scholes theory of options as well as introducing such topics in finance as the time value of money, mean variance analysis, optimal portfolio selection, and the capital assets pricing model. The author assumes no prior knowledge of probability and presents all the necessary preliminary material simply and clearly. He explains the concept of arbitrage with examples, and then uses the arbitrage theorem, along with an approximation of geometric Brownian motion, to obtain a simple derivation of the Black-Scholes formula. In the later chapters he presents real price data indicating that this model is not always appropriate and shows how the model can be generalized to deal with such situations. No other text presents such topics in a mathematically accurate but accessible way. It will appeal to professional traders as well as undergraduates studying the basics of finance.

Mathematical statistics --- Options (Finance) --- Prices --- Mathematics --- Investments --- Stochastic analysis --- Securities prices --- Mathematical models --- 336.714 --- -Stochastic analysis --- -Securities --- -332.60151 --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Investment banking --- Analysis, Stochastic --- Mathematical analysis --- Stochastic processes --- Investing --- Investment management --- Finance --- Disinvestment --- Loans --- Saving and investment --- Speculation --- Beleggingsmaatschappijen. Collectieve beleggingsfondsen. Investeringsmaatschappijen. Investment trusts. Holdingmaatschappijen --- -Mathematical models --- Law and legislation --- Stochastic analysis. --- Mathematics. --- 336.714 Beleggingsmaatschappijen. Collectieve beleggingsfondsen. Investeringsmaatschappijen. Investment trusts. Holdingmaatschappijen --- 332.60151 --- Mathematics of investment --- Business mathematics --- Investments - Mathematics --- Options (Finance) - Mathematical models - Mathematical models --- Securities prices - Mathematical models

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Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

336.76 --- Derivative securities --- -Options (Finance) --- -Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Investments --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- 336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Mathematical models --- Prices --- -Mathematical models --- -336.76 Beurswezen. Geldmarkt. Valutamarkt. Binnenlandse geldmarkt. Valutamarkt --- Call options --- Options (Finance) --- Prices&delete& --- Mathematical models. --- Money market. Capital market --- Probability theory --- Quantitative methods (economics) --- Options (Finances) --- Instruments dérivés (Finances) --- Modèles mathématiques --- Prix --- Options (Finance) - Mathematical models - Mathematical models. --- Options (Finance) - Prices - Mathematical models. --- Derivative securities - Mathematical models.

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The origin of this book can be traced to courses on financial mathemat­ ics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer sci­ ence, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not as­ sume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses­ one at undergraduate level, the other two as graduate courses. The first part of the book deals with the more classical concepts and results of arbitrage pricing theory, developed over the last thirty years and currently widely applied in financial markets. The second part, devoted to interest rate modelling is more subjective and thus less standard. A concise survey of short-term interest rate models is presented. However, the special emphasis is put on recently developed models built upon market interest rates.

Stochastic processes --- International financial management --- International finance --- Options (Finance) --- Derivative securities --- Interest rates --- Fixed-income securities --- Finance --- Mathematical models --- Options (Finances) --- Instruments dérivés (Finances) --- Taux d'intérêt --- Valeurs mobilières à revenus fixes --- Modèles mathématiques --- -Fixed-income securities --- -Interest rates --- -Options (Finance) --- 305.91 --- -Derivative securities --- -332.015118 --- Fixed-income investments --- Investments, Fixed-income --- Securities, Fixed-income --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Structured notes (Securities) --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Instruments dérivés (Finances) --- Taux d'intérêt --- Valeurs mobilières à revenus fixes --- Modèles mathématiques --- 332.015118 --- AA / International- internationaal --- 519.2 --- 519.2 Probability. Mathematical statistics --- Probability. Mathematical statistics --- Securities --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Law and legislation --- Mathematical models. --- Finances --- Economics, Mathematical . --- Probabilities. --- Finance. --- Statistics . --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Finance, general. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Funding --- Funds --- Economics --- Currency question --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Methodology --- Marché financier --- Options (Finance) - Mathematical models - Mathematical models. --- Derivative securities - Mathematical models. --- Interest rates - Mathematical models. --- Fixed-income securities - Mathematical models. --- Finance - Mathematical models.