Elementary Calculus of Financial Mathematics

Häftad, Engelska, 2008

Del i serien Mathematical Modeling and Computation

831 kr

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Beskrivning

Modern financial mathematics relies on the theory of random processes in time, reflecting the erratic fluctuations in financial markets.This book introduces the fascinating area of financial mathematics and its calculus in an accessible manner geared toward undergraduate students. Using little high-level mathematics, the author presents the basic methods for evaluating financial options and building financial simulations.By emphasizing relevant applications and illustrating concepts with colour graphics, Elementary Calculus of Financial Mathematics presents the crucial concepts needed to understand financial options among these fluctuations. Among the topics covered are the binomial lattice model for evaluating financial options, the Black–Scholes and Fokker–Planck equations, and the interpretation of Ito’s formula in financial applications. Each chapter includes exercises for student practice and the appendices offer MATLAB® and SCILAB code as well as alternate proofs of the Fokker–Planck equation and Kolmogorov backward equation.

Produktinformation

Utgivningsdatum:2008-12-30
Mått:152 x 229 x undefined mm
Vikt:268 g
Format:Häftad
Språk:Engelska
Serie:Mathematical Modeling and Computation
Antal sidor:140
Förlag:Society for Industrial & Applied Mathematics,U.S.
ISBN:9780898716672

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Mer om författaren

A. J. Roberts is a Professor and Chair in the School of Mathematical Sciences at the University of Adelaide. He has lectured and conducted research at the University of New South Wales and the University of Southern Queensland, and has published over 100 refereed international journal articles. As a leader in developing and applying a branch of modern dynamical systems theory, in conjunction with new computer algebra algorithms in scientific computing, Professor Roberts derives and interprets mathematical and computational models of complex multiscale systems, both deterministic and stochastic.

Innehållsförteckning

PrefaceList of AlgorithmsChapter 1: Financial Indices Appear to Be Stochastic ProcessesChapter 2: Ito’s Stochastic Calculus IntroducedChapter 3: The Fokker–Planck Equation Describes the Probability DistributionChapter 4: Stochastic Integration Proves Ito’s FormulaAppendix A: Extra MATLAB/SCILAB CodeAppendix B: Two Alternate ProofsBibliographyIndex