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Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

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Mathematics for Finance

An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

By Marek Capiński, Tomasz Zastawniak

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Format: Paperback, 349 pages, 2nd ed. 2011 Edition
Other Information: 66 black & white illustrations, biography
Published In: United Kingdom, 25 November 2010
As with the first edition, Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely Option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting. From the reviews of the first edition: "This text is an excellent introduction to Mathematical Finance. Armed with a knowledge of basic calculus and probability a student can use this book to learn about derivatives, interest rates and their term structure and portfolio management."(Zentralblatt MATH) "Given these basic tools, it is surprising how high a level of sophistication the authors achieve, covering such topics as arbitrage-free valuation, binomial trees, and risk-neutral valuation." (www.riskbook.com) "The reviewer can only congratulate the authors with successful completion of a difficult task of writing a useful textbook on a traditionally hard topic." (K. Borovkov, The Australian Mathematical Society Gazette, Vol. 31 (4), 2004)

Table of Contents

A Simple Market Model.- Risk-Free Assets.- Portfolio Management.- Forward and Futures Contracts.- Options: General Properties.- Binomial Model.- General Discrete Time Models.- Continuous Time Model.- Interest Rates.

About the Author

รข Marek Capinski is Professor of Mathematics at AGH University of Science and Technology, Poland. Tomasz Zastawniak is Professor of Mathematics at the University of York, UK.

Reviews

From the reviews of the second edition: "This second edition ... is to start each chapter with the presentation of a case study and to end each chapter with a thorough discussion of that study. The authors also added new material on time-continuous models, along with the essentials of the mathematical arguments. ... The current book is more substantial ... . Summing Up: Recommended. Upper-division undergraduates and graduate students." (D. Robbins, Choice, Vol. 48 (10), June, 2011) "Throughout the text, the authors invite active reader participation. One way is by opening and closing each chapter with a case study. ... authors have embedded all of the exercises in the discussion. ... Solutions to all exercises appear in an appendix. This makes the book excellent for self-study. ... this book provides an excellent introduction to financial engineering. ... authors display impressive dexterity in ushering the reader from basics to an understanding of some of the deepest and most far-reaching ideas in the discipline." (David A. Huckaby, The Mathematical Association of America, February, 2011)

EAN: 9780857290816
ISBN: 0857290819
Publisher: Springer London Ltd
Dimensions: 23.4 x 15.6 x 1.8 centimetres (0.59 kg)
Age Range: 15+ years
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