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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, Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91G10, Actuarial science and mathematical finance, Portfolio theory
91G20, Actuarial science and mathematical finance, Derivative securities (option pricing, hedging, etc.)
91G30, Actuarial science and mathematical finance, Interest rates, asset pricing, etc.
97M30, Mathematics education, Financial and insurance mathematics (aspects of mathematics education)
En-ligne : Springerlink
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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

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