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Financial mathematics : a comprehensive treatment / Giuseppe Campolieti and Roman N. Makarov.

By: Contributor(s): Material type: TextTextSeries: Chapman & Hall/CRC financial mathematics seriesPublication details: Boca Raton : CRC Press, c2014.Description: xxvi, 805 p. : ill. ; 26 cmISBN:
  • 9781439892428 (hbk.)
Subject(s): DDC classification:
  • 650.01513 23 C198
Contents:
I. Introduction to pricing and management of financial securites: 1. Mathematics of Compounding -- 2. Primer on Pricing Risky Securities -- 3. Portfolio Management -- Primer on Derivative Securities -- II. Discrete-time modeling: 5. Single-Period Arrow-Debreu Models -- 6. Introduction to Discrete-Time Stochastic Calculus -- 7. Replication and Pricing in the Binomial Tree Model -- 8. General Multi-Asset Multi-Period Model -- III. Continuous-time modeling: 9. Essentials of General Probability Theory -- 10. One-Dimensional Brownian Motion and Related Processes -- 11. Introduction to Continuous-Time Stochastic Calculus -- 12. Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock -- 13. Risk-Neutral Pricing in a Multi-Asset Economy -- 14. American Options -- 15. Interest-Rate Modelling and Derivative Pricing -- 16. Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- 17. Introduction to Monte Carlo and Simulation Methods -- 18. Numerical Applications to Derivative Pricing-- Appendix-- Glossary of symbols and abbreviations-- References-- Index.
Summary: Provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors' teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 650.01513 C198 (Browse shelf(Opens below)) Available 136135
Total holds: 0

Includes bibliographical references and index.

I. Introduction to pricing and management of financial securites: 1. Mathematics of Compounding --
2. Primer on Pricing Risky Securities --
3. Portfolio Management -- Primer on Derivative Securities --

II. Discrete-time modeling:
5. Single-Period Arrow-Debreu Models --
6. Introduction to Discrete-Time Stochastic Calculus --
7. Replication and Pricing in the Binomial Tree Model --
8. General Multi-Asset Multi-Period Model --

III. Continuous-time modeling:
9. Essentials of General Probability Theory --
10. One-Dimensional Brownian Motion and Related Processes --
11. Introduction to Continuous-Time Stochastic Calculus --
12. Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock --
13. Risk-Neutral Pricing in a Multi-Asset Economy --
14. American Options --
15. Interest-Rate Modelling and Derivative Pricing --
16. Alternative Models of Asset Price Dynamics --

IV. Computational Techniques --
17. Introduction to Monte Carlo and Simulation Methods --
18. Numerical Applications to Derivative Pricing--
Appendix--
Glossary of symbols and abbreviations--
References--
Index.

Provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors' teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

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