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Mathematics for Finance: An Introduction to Financial Engineering

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.

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Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series)

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Product Description

This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

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