Financial Mathematics: A Comprehensive Treatment

Giuseppe Campolieti, Roman N. Makarov

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March 12, 2014 by Chapman and Hall/CRC
Textbook - 829 Pages - 91 B/W Illustrations
ISBN 9781439892428 - CAT# K14142
Series: Chapman and Hall/CRC Financial Mathematics Series

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Features

  • Provides material for a complete undergraduate program in financial mathematics as well as some master’s level courses
  • Uses a mathematically rigorous yet simple, student-friendly style that bridges basic concepts and techniques with more advanced ones
  • Presents balanced coverage of financial theory and mathematical/computational methods
  • Gives an in-depth treatment of both discrete- and continuous-time theory and methodology
  • Includes numerous fully worked out examples and exercises in every chapter

Solutions manual available upon qualifying course adoption

Summary

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels

Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.

With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.