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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 discrete-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 discrete-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, mathematical, and computational methods.
Guide to Material.
This revision contains:
Almost 200 pages worth of new material in all chapters.
A new chapter on elementary probability theory.
An expanded the 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.
List of Figures and Tables
Preface
Introduction to Pricing and Management of Financial Securities
Mathematics of Compounding
Primer on Pricing Risky Securities
Portfolio Management
Primer on Derivative Securities
Discrete-Time Modelling
Single-Period Arrow–Debreu Models
Introduction to Discrete-Time Stochastic Calculus
Replication and Pricing in the Binomial Tree Model
General Multi-Asset Multi-Period Model
Appendices
Elementary Probability Theory
Glossary of Symbols and Abbreviations
Answers and Hints to Exercises
References
Index
Biographies
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