A course in financial calculus / Alison Etheridge.
Publisher: [S.l.] : Cambridge University Press, 2002Edition: 1st edDescription: 204 p. ; 25 cmISBN: 0521813859; 9780521813853DDC classification: 332.63221 Online resources: Amazon.com | Amazon customer reviews Summary: This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.| Item type | Current location | Home library | Call number | Status | Date due | Barcode | Item holds |
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Central Library (CL) | Central Library (CL) | 332.63221 ETH (Browse shelf) | Available | NBS4983 |
Hardcover.
This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.
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