Deze boekenreeks duikt in de essentiële onderwerpen en veelvoorkomende keuzevakken die worden aangeboden in masteropleidingen voor wiskundige en kwantitatieve financiën. Elk deel is zorgvuldig ontworpen om op zichzelf te staan, waardoor individuele studie mogelijk is, maar is ook nauw gecoördineerd met de andere delen voor een uitgebreid curriculum. Het biedt een rigoureuze verkenning van de kwantitatieve methoden die cruciaal zijn voor het navigeren door complexe financiële markten. Deze bron is van onschatbare waarde voor studenten en professionals die de analytische instrumenten van moderne financiën willen beheersen.
Students and instructors alike will benefit from this rigorous, unfussy text. It keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence, conditioning and limit theorems for random sequences. Motivational examples, careful proofs and plenty of exercises facilitate self-study.
This brief but full introduction to basic stochastic processes contains key results that have become essential for finance practitioners and provides a solid grounding for understanding the Black-Scholes option pricing model. Students, practitioners and researchers will benefit from the authors' rigorous, but unfussy, approach to technical issues.
This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. Relatively elementary mathematics leads to powerful notions and techniques - such as viability, completeness, self-financing and replicating strategies, arbitrage and equivalent martingale measures - which are directly applicable in practice. The general methods are applied in detail to pricing and hedging European and American options within the Cox-Ross-Rubinstein (CRR) binomial tree model. A simple approach to discrete interest rate models is included, which, though elementary, has some novel features. All proofs are written in a user-friendly manner, with each step carefully explained and following a natural flow of thought. In this way the student learns how to tackle new problems.
Designed for Master's students and final-year undergraduates, this book strikes the right balance between mathematical rigour and practical application. Carefully chosen examples and exercises help students acquire the necessary skills to deal with interest rate modelling in a real-world setting.