An Undergraduate Introduction to Financial Mathematics by Buchanan J Robert

By Buchanan J Robert

This textbook presents an creation to monetary arithmetic and fiscal engineering for undergraduate scholars who've accomplished a 3- or four-semester series of calculus classes. It introduces the speculation of curiosity, discrete and non-stop random variables and chance, stochastic techniques, linear programming, the basic Theorem of Finance, choice pricing, hedging, and portfolio optimization. This 3rd variation expands at the moment by way of together with a brand new bankruptcy at the extensions of the Black-Scholes version of choice pricing and a better variety of workouts on the finish of every bankruptcy. extra heritage fabric and routines extra, with strategies supplied to the opposite chapters, permitting the textbook to higher stand on my own as an advent to monetary arithmetic. The reader progresses from an outstanding grounding in multivariable calculus via a derivation of the Black-Scholes equation, its answer, houses, and functions. The textual content makes an attempt to be as self-contained as attainable with out hoping on complicated mathematical and statistical issues. the fabric awarded during this ebook will thoroughly organize the reader for graduate-level research in mathematical finance.

Contents:

  • The conception of Interest
  • Discrete Probability
  • Normal Random Variables and Probability
  • The Arbitrage Theorem
  • Random Walks and Brownian Motion
  • Forwards and Futures
  • Options
  • Solution of the Black-Scholes Equation
  • Derivatives of Black-Scholes alternative Prices
  • Hedging
  • Extensions of the Black-Scholes Model
  • Optimizing Portfolios
  • American Options

Readership: Undergraduate scholars in finance, economics, and utilized arithmetic; execs in banking, coverage and finance.

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