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Download Financial Mathematics: A Comprehensive Treatment (Textbooks in Mathematics) eBook

by Giuseppe Campolieti,Roman N. Makarov

Download Financial Mathematics: A Comprehensive Treatment (Textbooks in Mathematics) eBook
ISBN:
1439892423
Author:
Giuseppe Campolieti,Roman N. Makarov
Category:
Mathematics
Language:
English
Publisher:
Chapman and Hall/CRC; 1 edition (March 12, 2014)
Pages:
829 pages
EPUB book:
1335 kb
FB2 book:
1355 kb
DJVU:
1138 kb
Other formats
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Rating:
4.3
Votes:
664


by Giuseppe Campolieti (Author), Roman N. Makarov (Author).

by Giuseppe Campolieti (Author), Roman N. ISBN-13: 978-1439892428. rings together under a single cover a comprehensive and descriptive presentation of quantitative finance deftly organized into four major section. critically important acquisition for an academic librar. specially recommended textbook for undergraduate and graduate students in the fields of mathematics, finance, actuarial science, and economics. Library Bookwatch, April 2014.

Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

Financial Mathematics A Comprehensive Treatment. Giuseppe Campolieti Roman N. Makarov. In contrast to most published single volumes on the subject of financial mathematics, this book presents multiple problem solving approaches and hence bridges together related comprehensive techniques for pricing different types of financial derivatives. The book contains a rather complete and in-depth comprehensive coverage of both discrete-time and continuous-time financial models that form the cornerstones of financial derivative pricing theory.

Giuseppe Campolieti and Roman N. Makarov Department of Mathematics Wilfird Laurier University Financial Mathematics: A Comprehensive Treatment To our families Contents List of Figures and Tables xvii List o. . Makarov Department of Mathematics Wilfird Laurier University Financial Mathematics: A Comprehensive Treatment To our families Contents List of Figures and Tables xvii List of Algorithms xxi Preface xxiii I Introduction to Pricing and Management of Financial Secu- rities 1 1 Mathematics of Compounding 3 . Interest and Return . 3 The Minimum Variance Portfolio. 4 Selection of Optimal Portfolios. 97 . Portfolio Optimization for N Assets. 1 Portfolios of Several Assets .

series Textbooks in Mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

Required Textbook: G. Campolieti and . Financial Mathematics: A Comprehensive Treatment. Reference Texts (not required): - J. Hull. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. J. van der Hoek and R. Elliott. Binomial Models in Finance. Mathematical Models of Financial Derivatives. These assigned problems are not to be handed in. However, working on these problems is essential to successfully completing the course.

Financial mathematics : a comprehensive treatment. Responsibility The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory

Financial mathematics : a comprehensive treatment. by Giuseppe Campolieti, Roman N. Boca Raton ; London : CRC Press, The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance. source: Nielsen Book Data).

3 results for makarov FINANCIAL MATHEMATICS: A COMPREHENSIVE TREATMENT By Roman N.

3 results for makarov.

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels

Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.

Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.

With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.

  • Gholbimand
I was lucky enough to use this textbook in multiple classes. This is not only a huge benefit for students looking to save on books - but the cohesive nature of the text & notation connects concepts from various courses (probability theory; stochastic calculus; financial math) quite easily. For example, you may not get the same experience if you learned stochastic calculus and financial mathematics from two different textbooks.

The authors did a great job covering pricing from various user levels (discrete; continuous; single asset; multi asset; path-dependent; etc) as well as all the math behind it (it -really- is quite comprehensive.) The problem sets are challenging enough to engage students/users but I found that the the sections that preceded the questions outlined clear (& often multiple) methods on solving similar problems. I would highly recommend this book to anyone with interest in quantitative finance, whether academically or professionally.
  • Anyshoun
Bought this book early in my degree to use for 2 courses in financial math. I am just finishing up a course in Intro to Stochastic Calculus and this book was very very useful. I've tried to read through other books on Stochastic Calculus and they just seem to lack worked examples, proofs, and practice problems (mostly because I think the course is usually taught at a graduate level typically). But the authors clearly saw an opportunity and created a great book. I look forward to using it in future courses.
And a note for future students: this is not an easy topic and requires a lot of work. I read and re-read sections as I make my own notes directly from the text. You cannot give a bad review if you've simply read sections once over quickly and don't practice the content
  • Iaran
This is a very thorough and precise compendium of 99.99% of the mathematics used in the field of mathematical finance at the undergraduate and graduate level. At over 800 pages, you can consider this a mathematical finance bible of sorts! With the utmost rigour, Campolieti demonstrates his specialized knowledge in the field of Mathematical Finance—having earned his PhD in 1989 and taught Mathematical Finance for over two decades, Campolieti draws on his deep well of knowledge and experience to present otherwise obscure and technical results in an easy to digest manner. The authors use their mathematical prowess to bring a fresh and innovative approach to the concepts of Mathematical Finance—bringing mathematical rigour and intuition into his explanations and proofs.

Do not listen to reviews that complain about the absence of a Student Solution Manual. Indeed, the problem sets are difficult. However, I have been informed that the authors are in the process of making the solutions manual available to the public. In many ways, the solutions manual will blow you away even more than the textbook, as the solutions are treated with extreme care and precision—providing you with explicit and step-by-step guides to the illuminating questions provided.

This is a must-have for anyone who is serious about studying mathematical finance.
  • Bladecliff
Firstly, I was an undergraduate student taught by these two professors so I bought this as a reference book to replace my class notes.

Do note that I have not read everything from this book as this book is (much) bigger than Shreve's.

-> Audience:

This book is mainly for those pursuing the financial mathematics industry (as a student or as someone switching into the field). Financial mathematics mainly deals with options pricing and financial risk management.

-> Mathematics Background & Chapters:

For this book in particular the more mathematics,statistics (and maybe programming) one knows the better it is for self-study. Knowing real analysis can definitely help as some of the later chapters mention Borel sets, measure, Radon-Nikodym Derviative, etc.

The first chapter deals with Time Value of Money, Annuities and Bonds and the second chapter is an introduction to pricing financial securities and some topics in portfolio theory. These first two chapters assume a background in calculus, a introductory probability and statistics and intro linear algebra.

The later chapters assume the reader has knowledge in probability theory and there is a self-contained section on Stochastic Calculus which is the foundation for options pricing and risk management. Chapters also include the Binomial Asset Pricing Model (like in Shreve's Vol. 1) and Continuous Time Pricing Models (like in Shreve Vol. II). After the pricing models, there are sections dealing with Interest Rate models, Black-Scholes theory, options pricing, Change of Measure. The background assumed is probability theory, some real analysis and PDEs.

There is one chapter which I think is a bit difficult. The chapter deals with the "Essentials of Probability Theory" which involves probability theory, real analysis, Borel sets and some Lebesgue integration ideas. This section is probably more suited for the financial mathematics researcher.

In the last section of the book, there is a self-contained section on Monte Carlo Methods and Numerical methods for pricing and hedging financial securities. This section is nice for those interested in applying the theory (from earlier chapters) to practice.

-> Book Formatting:

I think the authors do a good job with having a section for list of notations with their meanings, a list of examples used, and some expectation indentities. There are no answers in the back of the book but the detailed and worked out examples are pretty good in the sense that they provide ideas and perspectives on solving questions and proofs.

Similar to Shreve's Stochastic Calculus for Finance book, some proofs are omitted since they require some higher level mathematics.

The self-contained Stochastic Calculus section was well done in my opinion. It was more detailed the Shreve's Vol II book. The examples in using Ito's Formula and solving SDEs was helpful.

This book covered at least two or three courses in my Financial Mathematics undergrad under these guys. The value you get from this book is pretty darn good. I give this a book a 5 since it is a good reference and from my onw bias too. (If I was not biased, I might have given a 4.)

I thought I'd give this review to give those an idea what this book is about as I highly disagreed with the one other review.
  • Ylonean
I was assigned this book for several fourth year undergraduate level courses. The text contains an advanced treatment of the type of mathematics needs for options pricing, including stochastic calculus and brownian motion.

Ultimately, I have yet to find another text that covers this breadth on the topic, with this level of complexity. The book is well-written and self-contained. For any upper division mathematics student, this would be an excellent choice for studying financial mathematics.