Mathematical Finance and Probability

A Discrete Introduction

  • Pablo Koch Medina
  • Sandro Merino

Table of contents

  1. Front Matter
    Pages i-ix
  2. E. Briys, F. De Varenne
    Pages 1-6
  3. H. R. Varian
    Pages 7-39
  4. H. Dybvig, S. A. Ross
    Pages 41-72
  5. M. Kline
    Pages 73-87
  6. B. A. Russell
    Pages 89-109
  7. J. E. Ingersoll Jr.
    Pages 111-128
  8. A. S. Eddington
    Pages 129-145
  9. A. N. Kolmogorov
    Pages 147-160
  10. R. C. Merton
    Pages 161-177
  11. J. M. Harrison, S. R. Pliska
    Pages 179-190
  12. H. Dybvig, S. A. Ross
    Pages 191-199
  13. J. C. Cox, S. A. Ross, M. Rubinstein
    Pages 201-219
  14. F. Galton
    Pages 221-246
  15. J. C. Cox, S. A. Ross, M. Rubinstein
    Pages 247-255
  16. K. L. Chung
    Pages 257-275
  17. R. Myneni
    Pages 277-295
  18. Back Matter
    Pages 297-328

About this book

Introduction

The objective of this book is to give a self-contained presentation to the theory underlying the valuation of derivative financial instruments, which

is becoming a standard part of the toolbox of professionals in the financial industry. Although a complete derivation of the Black-Scholes

option pricing formula is given, the focus is on finite-time models. Not going for the greatest possible level of generality is greatly rewarded by

a greater insight into the underlying economic ideas, putting the reader in an excellent position to proceed to the more general continuous-time

theory.

The material will be accessible to students and practitioners having a working knowledge of linear algebra and calculus. All additional material

is developed from the very beginning as needed. In particular, the book also offers an introduction to modern probability theory, albeit mostly

within the context of finite sample spaces.

The style of presentation will appeal to financial economics students seeking an elementary but rigorous introduction to the subject; mathematics

and physics students looking for an opportunity to become acquainted with this modern applied topic; and mathematicians, physicists or quantitatively inclined economists working in the financial industry.

Keywords

Asset Pricing Excel Markov Chain Markov Chains Measure Options Portfolio Probability space Probability theory Random variable Stochastic Processes linear algebra

Authors and affiliations

  • Pablo Koch Medina
    • 1
  • Sandro Merino
    • 2
  1. 1.Swiss ReZürichSwitzerland
  2. 2.UBS AGZürichSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-0348-8041-1
  • Copyright Information Birkhäuser Verlag 2003
  • Publisher Name Birkhäuser, Basel
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-7643-6921-7
  • Online ISBN 978-3-0348-8041-1
  • About this book