Book Cover
Book
Author Cvitanić, Jakša.

Title Introduction to the economics and mathematics of financial markets / Jakša Cvitanić and Fernando Zapatero
Published Cambridge, Mass. : MIT Press, [2004]
©2004

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Location Call no. Vol. Availability
 MELB  332.632015195 Cvi/Itt  AVAILABLE
Description 494 pages : illustrations
Contents I. The Setting: Markets, Models, Interest Rates, Utility Maximization, Risk -- 1. Financial Markets -- 2. Interest Rates -- 3. Models of Securities Prices in Financial Markets -- 4. Optimal Consumption/Portfolio Strategies -- 5. Risk -- II. Pricing and Hedging of Derivative Securities -- 6. Arbitrage and Risk-Neutral Pricing -- 7. Option Pricing -- 8. Fixed-Income Market Models and Derivatives -- 9. Hedging -- 10. Bond Hedging -- 11. Numerical Methods -- III. Equilibrium Models -- 12. Equilibrium Fundamentals -- 13. CAPM -- 14. Multifactor Models -- 15. Other Pure Exchange Equilibria -- 16. Appendix: Probability Theory Essentials
Summary Annotation. <i>Introduction to the Economics and Mathematics of Financial Markets</i>fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics.<br /><br />The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models-a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing
Bibliography Includes bibliographical references and index
Audience Trade MIT Press
Notes 18 MIT Press
Subject Finance -- Mathematical models.
Finance -- Mathematical models -- Textbooks.
Genre/Form Textbooks.
Author Zapatero, Fernando.
ebrary, Inc.
LC no. 2003064872
ISSN 6253-2654
ISBN 0262532654
0262033208 U.S
Other Titles Solutions manual for Introduction to the economics and mathematics of financial markets
OTHER TI Ebrary Academic Complete Subscription Collection