Description

An elementary introduction to chance and mathematical finance together with a chapter on the Capital Asset Pricing Model (CAPM), a subject that may be very widespread amongst practitioners and economists.

Dr. Roman has authored 32 books, together with a quantity of books on arithmetic, similar to Coding and Information Theory, Advanced Linear Algebra, and Field Theory, printed by Springer-Verlag.

Review

From the evaluations of the first version:

“The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. … The mathematics is not watered down but is appropriate for the intended audience. … No background in finance is required, since the book also contains a chapter on options.” (L’ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004)

“The book is basically a textbook on the mathematics of financial derivatives on equity … . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed.” (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005)

From the Back Cover

The Mathematics of Finance has change into a scorching subject in utilized arithmetic ever since the discovery of the Black-Scholes possibility pricing formulation in 1973. Unfortunately, there are only a few undergraduate textbooks on this space. This e-book is particularly written for higher division undergraduate or starting graduate college students in arithmetic, finance or economics. With the exception of an non-obligatory chapter on the Capital Asset Pricing Model, the e-book concentrates on discrete by-product pricing fashions, culminating in a cautious and full derivation of the Black-Scholes possibility pricing formulation as a limiting case of the Cox-Ross-Rubinstein discrete mannequin. The ultimate chapter is devoted to American choices.

The arithmetic will not be watered down however is suitable for the meant viewers. No measure concept is used and solely a small quantity of linear algebra is required. All needed chance concept is developed in a number of chapters all through the e-book, on a “need-to-know” foundation. No background in finance is required, since the e-book additionally accommodates a chapter on choices.

The writer is Emeritus Professor of Mathematics, having taught at a quantity of universities, together with MIT, UC Santa Barabara, the University of South Florida and the California State University, Fullerton. He has written 27 books in arithmetic at varied ranges and 9 books on computing. His pursuits lie largely in the areas of algebra, set concept and logic, chance and finance. When not writing or instructing, he likes to make interval furnishings, copy Van Gogh work and hear to classical music. He additionally likes tofu.

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