id: 02352152
dt: b
an: 2003c.02639
au: Koch Medina, Pablo; Merino, Sandro
ti: Mathematical finance and probability. A discrete introduction.
so: BirkhĂ¤user, Basel (ISBN 3-7643-6921-3). 337 p. (2003).
py: 2003
pu: BirkhĂ¤user, Basel
la: EN
cc: M30 N70 K90
ut:
ci:
li:
ab: The objective of this book is to give a self-contained presentation to the
theory underlying the valuation of derivative financial instruments,
which is becoming a standard part of the toolbox of professionals in
the financial industry. Although a complete derivation of the
Black-Scholes option pricing formula is given, the focus is on
finite-time models. Not going for the greatest possible level of
generality is greatly rewarded by a greater insight into the underlying
economic ideas, putting the reader in an excellent position to proceed
to the more general continuous-time theory. The material will be
accessible to students and practitioners having a working knowledge of
linear algebra and calculus. All additional material is developed from
the very beginning as needed. In particular, the book also offers an
introduction to modern probability theory, albeit mostly within the
context of finite sample spaces. The style of presentation will appeal
to financial economics students seeking an elementary but rigorous
introduction to the subject; mathematics and physics students looking
for an opportunity to become acquainted with this modern applied topic;
and mathematicians, physicists or quantitatively inclined economists
working in the financial industry.
rv: