Mathematical Finance: A Very Short Introduction

Dilip B. Madan, Professor of Finance, Robert H. Smith School of Business Only a scholar of the highest order could provide the depth, breadth, clarity, precision, and brevity to be found in this work. Enjoy the resulting gem.

Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University This elegant little book will enthral readers looking for a clear sense of what mathematical finance is all about. Each chapter captures the essential ideas within a different aspect of the subject, without burying readers in abstruse models. Davis knows the subject so well, from both the mathematical and practical viewpoints, that he can make it accessible, relevant, and correct, all at the same time.

zbMATH With concise explanations of the most important financial mathematical correlations and the mathematical formulas necessary for them, this book represents a successful very short introduction into this complex topic.

Professor Mark Davis is Senior Research Fellow at the Department of Mathematics at Imperial College, London. Coming from a background in electrical engineering and computer science, with an ScD in Mathematics from Cambridge University, Professor Davis spent five years as Head of Research and Product Development at the London-based investment bank Tokyo-Mitsubishi International, before setting up a Mathematical Finance group at Imperial College London. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002. He is the author of six books on stochastic analysis, optimisation and finance, most recently Risk-Sensitive Investment Management (World Scientific 2014), written with Sebastien Lleo.

Preface 1: Money, banking, and financial markets 2: Quantifying risks 3: The classical theory of option pricing 4: Interest rates 5: Credit risk 6: Fund management 7: Risk management 8: The banking crisis and its aftermatch Epilogue Further reading Index