Mathematical Finance: Core Theory, Problems and Statistical Algorithms by Nikola

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Rigorous in style, yet easy to use, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of Stochastic Analysis and statistical finance covered in most degree courses.

FORMATPaperback LANGUAGEEnglish CONDITIONBrand New Publisher Description

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes. Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes: an introduction to probability theory a detailed study of discrete and continuous time market models a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing a detailed discussion of options and their pricing, including American options in a continuous time setting. An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

Back Cover

Nikolai Dokuchaev's comprehensive text book provides a systematic, self-sufficient and yet short presentation of the mainstream topics of Mathematical Finance and related parts of stochastic analysis and statistical finance that covers typical university programs. It can be used as either a point of reference or to provide fundamentals for further research.Starting with an introduction to probability theory, the book offers a detailed study of discrete and continuous time market models, a comprehensive reviewof Ito calculus and statistical methods as a basis for statistical estimation of models for pricing, and a detailed discussion of options and their pricing, including American options in continuous time setting. All basic concepts and results are given with proofs and with numerous examples and problems.Thishandy introduction to the topic is a useful counterpart to other Routledge books including Barry Goss's Models of Futures Markets and Advanced Mathematical Economics by Rakesh Vohra. It is suitable for undergraduate and postgraduate courses and advanced degree programs, as well as academics and practitioners.

Author Biography

Nikolai Dokuchaev is Associate Professor in the Department of Mathematics, Trent University, Ontario, Canada.

Table of Contents

1. Review of Probability Theory 2. Basics of Stochastic Theory 3. Discrete Time Market Models 4. Basics of Ito Calculus and Stochastic Analysis 5. Continuous Time Market Models 6. American Options and Binomial Trees 7. Implied and Historical Volatility 8. Review of Statistical Estimation 9. Estimation of Models for Stock Prices

Review

"The book provides a systematic, self-sufficient, and yet short presentation of the main topics of mathematical finance. !The book is suitable for undergraduate and graduate courses in mathematics, statistics, finance, and economics. It also provides fundamentals for further research and study in these fields." --Pavel Stoynov, Zentralblatt MATH 1173

Review Quote

"The book provides a systematic, self-sufficient, and yet short presentation of the main topics of mathematical finance. …The book is suitable for undergraduate and graduate courses in mathematics, statistics, finance, and economics. It also provides fundamentals for further research and study in these fields." -Pavel Stoynov, Zentralblatt MATH1173

Details ISBN0415414482 Author Nikolai Dokuchaev Short Title MATHEMATICAL FINANCE Series Routledge Advanced Texts in Economics and Finance Language English ISBN-10 0415414482 ISBN-13 9780415414487 Media Book Format Paperback Year 2007 Imprint Routledge Subtitle Core Theory, Problems and Statistical Algorithms Place of Publication London Country of Publication United Kingdom Edition 1st Affiliation Trent University, Canada DOI 10.1604/9780415414487 UK Release Date 2007-02-01 AU Release Date 2007-02-01 NZ Release Date 2007-02-01 Pages 208 Publisher Taylor & Francis Ltd Publication Date 2007-02-01 Alternative 9780367475017 DEWEY 332.0151 Illustrations 6 Line drawings, black and white; 6 Illustrations, black and white Audience Undergraduate We've got this

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