Mathematical Finance and Probability (Paperback)

by Pablo Koch Medina (Author), Sandro Merino (Author) "The objective of this book is to give a self-contained presentation of that part of mathematical finance devoted to the pricing of derivative instruments..." (more)
Key Phrases: strongly positive linear functional, strongly positive vector, pricing functional, Proof Let, Cox Ross Rubinstein, Proof Assume (more...)

Editorial Reviews

Review

"The style of presentation will appeal to anyone who is seeking an elementary but rigorous introduction to the pricing of derivative securities. The book is written carefully and is very readable."

Mathematical Reviews

"The book offers a self-contained elementary but rigorous and very clear introduction to the pricing of derivative instruments in discrete time. . . . For the interested reader who has not been exposed to modern probability theory before, the book provides an excellent starting point for studying the theory of derivative pricing. In particular, for a rigorous course on derivative pricing in an economics department or at a business school this introduction seems to be well-suited."

Zentralblatt Math

"The book presents the part of mathematical finance devoted to the pricing of derivative instruments; its basic theme is the study of prices in securities markets in an uncertain environment. . . As the objective of the book is to provide a sound understanding of important issues of modern approaches to mathematical finance, several mathematical models are developed and examined in detail.  The focus is on finite-time models and the highest level of generality is frequently sacrificed for the sake of a greater insight into the underlying economic ideas.  Even when the problems are approached from the mathematical point of view and almost all results are strictly proved, the financial interpretation is always stressed. . . The style of presentation is aimed at students of financial economics, mathematics and physics and at mathematicians, physicists and economists working in financial industry."

---APPLICATIONS OF MATHEMATICS

Product Description

The objective of this book is to give a self-contained presentation to the theory underlying the valuation of derivative financial instruments, which is becoming a standard part of the toolbox of professionals in the financial industry. Not going for the greatest possible level of generality is greatly rewarded by a greater insight into the underlying economic ideas, putting the reader in an excellent position to proceed to the more general continuous-time theory.

The material will be accessible to students and practitioners having a working knowledge of linear algebra and calculus. All additional material is developed from the very beginning as needed. In particular, the book also offers an introduction to modern probability theory, albeit mostly within the context of finite sample spaces.

• Paperback: 340 pages
• Publisher: Birkhäuser Basel; 1 edition (June 11, 2004)
• Language: English
• ISBN-10: 3764369213
• ISBN-13: 978-3764369217
• Product Dimensions: 9.3 x 6.7 x 0.7 inches
• Shipping Weight: 1.5 pounds (View shipping rates and policies)
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• Amazon.com Sales Rank: #1,045,499 in Books (See Bestsellers in Books)
  
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