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Description
True to its title, this book itself is an excellent financial investment. For the price of one volume it teaches two Nobel Prize winning theories, with plenty more included for good measure. How many undergraduate mathematics textbooks can boast such a claim?Building on mathematical models of bond and stock prices, these two theories lead in different directions: Black–Scholes arbitrage pricing of options and other derivative securities on the one hand, and Markowitz portfolio optimisation and the Capital Asset Pricing Model on the other hand. Models based on the principle of no arbitrage can also be developed to study interest rates and their term structure. These are three major areas of mathematical finance, all having an enormous impact on the way modern financial markets operate. This textbook presents them at a level aimed at second or third year undergraduate students, not only of mathematics but also, for example, business management, finance or economics.
Content:-
1. Introduction: A Simple Market Model
2. Risk-Free Assets
3. Risky Assets
4. Discrete Time Market Models
5. Portfolio Management
6. Forward and Futures Contracts
7. Options: General Properties
8. Option Pricing
9. Financial Engineering
10. Variable Interest Rates
11. Stochastic Interest Rates
Solutions
Bibliography
Glossary of Symbols
Index
Author Details
"Marek Capi´nski"
and
"Tomasz Zastawniak"
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