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A Course in Financial Calculus By Alison Etheridge (University of Oxford)

A Course in Financial Calculus
by Alison Etheridge (University of Oxford)

Out of Stock
£23.99
Inspired by Baxter and Rennie's Financial Calculus, this self-contained 2002 text is designed for first courses on the subject. Key concepts are introduced in the discrete time framework. A valuable feature is the large number of exercises and examples.
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A Course in Financial Calculus Summary


A Course in Financial Calculus by Alison Etheridge (University of Oxford)

Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions.

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A Course in Financial Calculus Reviews


' ... being relatively short and a paperback must make it appealing to students and those who need a quick introduction to the material. ... nicely produced and elegantly laid out. I would consider adopting it as a text for a course in this topic. Publication of the International Statistical Institute
'This is a well written textbook which should be suitable for final year undergraduate and first year graduate students having some background in probability theory.' Klaus Schruger, Zentralblatt MATH
' ... this is a very well-organized text that makes it easy to learn.' Journal of the Royal Statistical Society
'... it was necessary to supply the framework of the book with some theory of stochastic analysis and to provide a mathematical explanation of the notions used.' EMS Newsletter
Etheridge offers an interesting, self-contained, and readable book highlighting advanced mathematical techniques used to solve complex financial market problems. Recommended." Choice

Table of Contents


Preface; 1. Single period models; 2. Binomial trees and discrete parameter martingales; 3. Brownian motion; 4. Stochastic calculus; 5. The Black-Scholes model; 6. Different payoffs; 7. Bigger models; Bibliography and further reading; Notation; Index.

Additional information

GOR004712998
A Course in Financial Calculus by Alison Etheridge (University of Oxford)
Alison Etheridge (University of Oxford)
Used - Very Good
Paperback
Cambridge University Press
2002-08-15
206
0521890772
9780521890779
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us.