Normal view MARC view ISBD view

Mathematics for finance : an introduction to financial engineering / Marek Capiński and Tomasz Zastawniak

Auteur principal : Capiński, Marek, 1951-, AuteurCo-auteur : Zastawniak, Tomasz, 1959-, AuteurType de document : MonographieCollection : Springer undergraduate mathematics seriesLangue : anglais.Pays : Grande Bretagne.Éditeur : London : Springer, 2004Description : 1 vol. (X-310 p.) ; 24 cmISBN : 1852333308.ISSN : 1615-2085.Bibliographie : Bibliogr. p. 303-304. Index.Sujet MSC : 91-01, Game theory, economics, social and behavioral sciences, Instructional exposition (textbooks, tutorial papers, etc.)
91G10, Game theory, economics, social and behavioral sciences -- Mathematical finance, Portfolio theory
91G20, Game theory, economics, social and behavioral sciences -- Mathematical finance, Derivative securities
91G30, Game theory, economics, social and behavioral sciences -- Mathematical finance, Interest rates (stochastic models)
97M30, Mathematics education - Mathematical modeling, applications of mathematics, Financial and insurance mathematics
En-ligne : Springerlink
Tags from this library: No tags from this library for this title. Log in to add tags.
Current location Call number Status Date due Barcode
CMI
Salle R
91 CAP (Browse shelf) Available 02607-01

The book presents two main mathematical theories developed for finance: Black-Scholes arbitrage pricing of options and other derivative securities, on one hand, and Markowitz portfolio optimization with the capital asset pricing model, on the other hand. Models based on the principle of no arbitrage, applied to interest rates and their term structure, are also considered. This textbook presents these three major areas of mathematical finance at a level suitable for second or third year undergraduate students in mathematics, business management, finance or economics. Prerequisites include elementary calculus, probability and some linear algebra. The text is interspersed with a multitude of elaborated examples and exercises, complete with solutions, providing ample material for tutorials as well as making the book good for self-study. (Zentralblatt)

Bibliogr. p. 303-304. Index

There are no comments for this item.

Log in to your account to post a comment.