Introduction to the mathematics of finance : from risk management to options pricing /

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"This book is specifically written for upper-division undergraduate or beginning graduate students in mathematics, finance, or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a c...

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Bibliographic Details
Main Author: Roman, Steven
Format: Printed Book
Language:English
Published: New York : Springer, c2004.
Subjects:
Capital assets pricing model.
Investments > Mathematics.
Options (Finance) > Prices.
Portfolio management > Mathematical models.
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020 |a 0387213759 :  |c $79.95 
020 |a 9780387213644 
039 |a (OCoLC)55085984 
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100 1 |a Roman, Steven. 
245 1 0 |a Introduction to the mathematics of finance :  |b from risk management to options pricing /  |c Steven Roman. 
260 |a New York :  |b Springer,  |c c2004. 
300 |a xiv, 354 p. :  |b ill. ;  |c 25 cm. 
504 |a Includes bibliographical references (p. [349]-350) and index. 
505 0 |a Notation key and Greek alphabet -- 1. Probability I : an introduction to discrete probability -- 2. Portfolio management and the capital asset pricing model -- 3. Background on options -- 4. An aperitif on arbitrage -- 5. Probability II : more discrete probability -- 6. Discrete-time pricing models -- 7. The Cox-Ross-Rubinstein model -- 8. Probability III : continuous probability -- 9. The Black-Scholes option pricing formula -- 10. Optimal stopping and American options -- App. A. Pricing nonattainable alternatives in an incomplete market -- App. B. Convexity and the separation theorem. 
520 1 |a "This book is specifically written for upper-division undergraduate or beginning graduate students in mathematics, finance, or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options."--BOOK JACKET. 
650 0 |a Capital assets pricing model. 
650 0 |a Investments  |x Mathematics. 
650 0 |a Options (Finance)  |x Prices. 
650 0 |a Portfolio management  |x Mathematical models. 
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