Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II

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Giuseppe Campolieti (Wilfrid Laurier University, Waterloo, Ontario, Canada) Roman N. Makarov

Financial Mathematics

A Comprehensive Treatment in Continuous Time Volume II

Giuseppe Campolieti (Wilfrid Laurier University, Waterloo, Ontario, Canada), Roman N. Makarov

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English

CRC Press
21 December 2022

Finance & accounting; Production & quality control management; Financial services industry; Probability & statistics; Applied mathematics

Series: Textbooks in Mathematics

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way.

This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives.

Key features:

In-depth coverage of continuous-time theory and methodology

Numerous, fully worked out examples and exercises in every chapter

Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts

Judicious balance of financial theory and mathematical methods

Guide to Material

This revision contains:

Almost 150 pages worth of new material in all chapters

A appendix on probability theory

An expanded set of solved problems and additional exercises

Answers to all exercises

This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics.

The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.

By: Giuseppe Campolieti (Wilfrid Laurier University Waterloo Ontario Canada), Roman N. Makarov
Imprint: CRC Press
Country of Publication: United Kingdom
Dimensions: Height: 254mm, Width: 178mm,
Weight: 1.100kg
ISBN: 9781138603639
ISBN 10: 1138603635
Series: Textbooks in Mathematics
Pages: 492
Publication Date: 21 December 2022
Audience: General/trade , ELT Advanced
Format: Hardback
Publisher's Status: Active

Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional Brownian Motion and Related Processes. 2. Introduction to Continuous-Time Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate Modelling and Derivative Pricing. 7. Alternative Models of Asset Price Dynamics. A. Essentials of General Probability Theory. B. Some Useful Integral (Expectation) Identities and Symmetry Properties of Normal Random Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and Abbreviations. Greek Alphabet. References. Index.

Giuseppe Campolieti is Professor of Mathematics at Wilfrid Laurier University in Waterloo, Canada. He has been Natural Sciences and Engineering Research Council postdoctoral research fellow and university research fellow at the University of Toronto. In 1998, he joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. Dr. Campolieti also founded a financial software and consulting company in 1998. He joined Laurier in 2002 as Associate Professor of Mathematics and as SHARCNET Chair in Financial Mathematics. Roman N. Makarov is Associate Professor and Chair of Mathematics at Wilfrid Laurier University. Prior to joining Laurier in 2003, he was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.