Marek Capinski, Tomasz Zastawniak
Springer Undergraduate Mathematics Series
London: Springer, 2003
310pp, ISBN: 978-1-85233-330-0
This is an introduction to the mathematics of derivatives, interest rates, and portfolio management. It builds on mathematical models of bonds, focusing on Black–Scholes’ arbitrage pricing of options, Markowitz portfolio optimization theory and the Capital Asset Pricing Model, and interest rates and their term structure. It is designed as a textbook, containing useful worked examples and exercises.