Authors:
- New edition fully rewritten, re-organized, and slimmed down to make the book flow more smoothly
- Classroom-tested for the past five years since the first edition
- Includes additional material on options and pricing nonattainable alternatives
- Excludes material on the capital asset pricing model, and condenses the material on probability in order to make the book more accessible to its readers
- Contains necessary background in financial matters for readers with little experience in finance
Part of the book series: Undergraduate Texts in Mathematics (UTM)
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Table of contents (11 chapters)
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Front Matter
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Options and Arbitrage
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Front Matter
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The Black–Scholes Option Pricing Formula
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Front Matter
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The Black–Scholes Option Pricing Formula
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Back Matter
About this book
The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. This book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model.
This second edition is a complete rewrite of the first edition with significant changes to the topic organization, thus making the book flow much more smoothly. Several topics have been expanded such as the discussions of options, including the history of options, and pricing nonattainable alternatives. In this edition the material on probability has been condensed into fewer chapters, and the material on the capital asset pricing model has been removed.
The mathematics is not watered down, but it is appropriate for the intended audience. Previous knowledge of measure theory is not needed and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book contains a chapter on options.Â
Authors and Affiliations
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Irvine, USA
Steven Roman
About the author
Bibliographic Information
Book Title: Introduction to the Mathematics of Finance
Book Subtitle: Arbitrage and Option Pricing
Authors: Steven Roman
Series Title: Undergraduate Texts in Mathematics
DOI: https://doi.org/10.1007/978-1-4614-3582-2
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Steven Roman 2012
Hardcover ISBN: 978-1-4614-3581-5Published: 24 April 2012
Softcover ISBN: 978-1-4899-8599-6Published: 09 May 2014
eBook ISBN: 978-1-4614-3582-2Published: 24 April 2012
Series ISSN: 0172-6056
Series E-ISSN: 2197-5604
Edition Number: 2
Number of Pages: XVI, 288
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Finance, general