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Book Cover
Book
Author Roman, Steven.

Title Introduction to the mathematics of finance : from risk management to options pricing / Steven Roman
Published New York : Springer, [2004]
©2004

Copies

Location Call no. Vol. Availability
 WATERFT BUSINESS  332.01 Rom/Itt  AVAILABLE
 MELB  332.01 Rom/Itt  AVAILABLE
Description xiv, 354 pages : illustrations ; 25 cm
Series Undergraduate texts in mathematics
Undergraduate texts in mathematics.
Contents Notation key and Greek alphabet -- 1. Probability I : an introduction to discrete probability -- 2. Portfolio management and the capital asset pricing model -- 3. Background on options -- 4. An aperitif on arbitrage -- 5. Probability II : more discrete probability -- 6. Discrete-time pricing models -- 7. The Cox-Ross-Rubinstein model -- 8. Probability III : continuous probability -- 9. The Black-Scholes option pricing formula -- 10. Optimal stopping and American options -- App. A. Pricing nonattainable alternatives in an incomplete market -- App. B. Convexity and the separation theorem
Summary "This book is specifically written for upper-division undergraduate or beginning graduate students in mathematics, finance, or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options."--BOOK JACKET
Bibliography Includes bibliographical references (pages [349]-350) and index
Subject Investments -- Mathematics.
Capital assets pricing model.
Portfolio management -- Mathematical models.
Options (Finance) -- Prices.
LC no. 2004046863
ISBN 0387213759 alkaline paper
0387213643 paperback alkaline paper