R. J. Williams
Graduate Studies in Mathematics Series
Providence, Rhode Island: American Mathematical Society, 2006
150pp, ISBN: 978-0-8218-3903-4
This is an introduction to the theory and practice of mathematical finance, which assesses the development of hedging and pricing of European and American derivatives in the discrete setting of binomial tree models. It presents tools from probability such as conditional expectation, filtration, and martingales, and describes the Black–Scholes model, for which pricing and hedging of European and American derivatives are developed.