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Stochastic Calculus for Finance
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.
Portfolio Theory and Risk Management
A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.
The Black-Scholes Model
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Discrete Models of Financial Markets
An excellent basis for further study. Suitable even for readers with no mathematical background.
Probability for Finance
A rigorous, unfussy introduction to modern probability theory that focuses squarely on applications in finance.
From Measures to Itô Integrals
From Measures to Itô Integrals gives a clear account of measure theory, leading via L2-theory to Brownian motion, Itô integrals and a brief look at martingale calculus. Modern probability theory and the applications of stochastic processes rely heavily on an understanding of basic measure theory. This text is ideal preparation for graduate-level courses in mathematical finance and perfect for any reader seeking a basic understanding of the mathematics underpinning the various applications of Itô calculus.
Analysis
This book builds on the material covered in Numbers, Sequences and Series, and provides students with a thorough understanding of the subject as it is covered on first year courses.
Mathematics of Financial Markets
This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.
Making up Numbers: A History of Invention in Mathematics
Making up Numbers: A History of Invention in Mathematics offers a detailed but accessible account of a wide range of mathematical ideas. Starting with elementary concepts, it leads the reader towards aspects of current mathematical research. The book explains how conceptual hurdles in the development of numbers and number systems were overcome in the course of history, from Babylon to Classical Greece, from the Middle Ages to the Renaissance, and so to the nineteenth and twentieth centuries. The narrative moves from the Pythagorean insistence on positive multiples to the gradual acceptance of negative numbers, irrationals and complex numbers as essential tools in quantitative analysis. Withi...
The Black–Scholes Model
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
