This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three or four semester sequence of calculus courses. It introduces the theory of interest, random variables and probability, stochastic processes, arbitrage, option pricing, hedging, and portfolio optimization. The student progresses from knowing only elementary calculus to understanding the derivation and solution of the Black-Scholes partial differential equation and its solutions. This is one of the few books on the subject of financial mathematics which is accessible to undergraduates having only a thorough grounding in elementary calculus. It explains the subject matter without “hand waving” arguments and includes numerous examples. Every chapter concludes with a set of exercises which test the chapter's concepts and fill in details of derivations.
- ISBN13 9789812566379
- Publish Date 12 April 2006
- Publish Status Active
- Out of Print 24 February 2009
- Publish Country SG
- Imprint World Scientific Publishing Co Pte Ltd
- Format Hardcover
- Pages 284
- Language English