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  • © 2015

Mathematical Financial Economics

A Basic Introduction

  • Offers a novel, unified and elementary introduction to the key topics in Mathematical Finance and Financial Economics

  • Prepares the reader to study and understand more advanced textbooks on Mathematical Finance and Financial Economics, as well as more applied Finance textbooks

  • Covers also less standard topics, such as capital growth theory, as well as an absolutely new topic, evolutionary finance

  • Includes supplementary material: sn.pub/extras

Part of the book series: Springer Texts in Business and Economics (STBE)

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eBook USD 69.99
Price excludes VAT (USA)
  • ISBN: 978-3-319-16571-4
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Hardcover Book USD 89.99
Price excludes VAT (USA)

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Table of contents (21 chapters)

  1. Front Matter

    Pages i-ix
  2. Mean-Variance Portfolio Analysis

    1. Front Matter

      Pages 1-1
    2. Portfolio Selection: Introductory Comments

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 3-9
    3. Mean-Variance Portfolio Analysis: The Markowitz Model

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 11-18
    4. Solution to the Markowitz Optimization Problem

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 19-25
    5. Properties of Efficient Portfolios

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 27-32
    6. The Markowitz Model with a Risk-Free Asset

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 33-41
    7. Efficient Portfolios in a Market with a Risk-Free Asset

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 43-51
    8. Capital Asset Pricing Model (CAPM)

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 53-59
    9. CAPM Continued

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 61-67
    10. Factor Models and the Ross-Huberman APT

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 69-81
    11. Problems and Exercises I

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 83-102
  3. Derivative Securities Pricing

    1. Front Matter

      Pages 103-103
    2. Dynamic Securities Market Model

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 105-114
    3. Risk-Neutral Pricing

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 115-123
    4. The Cox–Ross–Rubinstein Binomial Model

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 125-135
    5. American Derivative Securities

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 137-144
    6. From Binomial Model to Black–Scholes Formula

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 145-155
    7. Problems and Exercises II

      • Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé
      Pages 157-165
  4. Growth and Equilibrium

    1. Front Matter

      Pages 167-167

About this book

This textbook is an elementary introduction to the key topics in mathematical finance and financial economics - two realms of ideas that substantially overlap but are often treated separately from each other. Our goal is to present the highlights in the field, with the emphasis on the financial and economic content of the models, concepts and results. The book provides a novel, unified treatment of the subject by deriving each topic from common fundamental principles and showing the interrelations between the key themes. Although the presentation is fully rigorous, with some rare and clearly marked exceptions, the book restricts itself to the use of only elementary mathematical concepts and techniques. No advanced mathematics (such as stochastic calculus) is used.

Keywords

  • Arbitrage pricing
  • Capital growth theory
  • Evolutionary finance
  • Financial economics
  • Mathematical finance
  • Portfolio analysis
  • quantitative finance

Reviews

“Mathematical Financial Economics (A Basic Introduction) is indeed a work accessible to the general public and can give a great contribution to the dissemination of knowledge in these areas, so important in modern everyday life. Indispensable either to professionals or to curious people, whether practical or academics, whether graduate or post-graduate students. In short: a true knowledge transfer book.” (Manuel Alberto M. Ferreira, Acta Scientiae et Intellectus, Vol. 2 (6), 2016)

Authors and Affiliations

  • Economics, School of Social Sciences, University of Manchester, Manchester, United Kingdom

    Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé

Bibliographic Information

Buying options

eBook USD 69.99
Price excludes VAT (USA)
  • ISBN: 978-3-319-16571-4
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Hardcover Book USD 89.99
Price excludes VAT (USA)