Introduction to the Mathematics of Finance
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Introduction to the Mathematics of Finance

From Risk Management to Options Pricing
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ISBN-13:
9780387213644
Einband:
Paperback
Erscheinungsdatum:
10.08.2004
Seiten:
376
Autor:
Steven Roman
Gewicht:
569 g
Format:
235x155x20 mm
Sprache:
Englisch
Beschreibung:

An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists.Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.
Preface.- Introduction.- Probability I: Introduction to Discrete Probability.- Portfolio Management and the Capital Asset Pricing Model.- Background on Options.- An Aperitif on Arbitrage.- Probability II: More Discrete Probability.- Discrete-Time Pricing Models.- The Cox-Ross-Rubinstein Model.- Probability III: Continuous Probability.- The Black-Scholes Option Pricing Formula.- Optimal Stopping and American Options.- Appendix: Convexity and Separation.

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