A Course in Financial Calculus

by Alison Etheridge

This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

Genres: Finance

206 pages, Paperback

First published January 1, 2002

Reviews

[Lucille Nguyen]

Introductory teaching on stochastic calculus and applications, with a focus on Brownian motion models and the simplest Black-Scholes models. A tad simple but a good introduction for those with mathematical maturity.

[Dmitri]

Found this virtually impossible to read. Was expecting an intro course, and it sure appeared that way from a few pages, but the the book started involving complex proofs relying on prior knowledge of particular theorems. So I couldn't read it. Either I got the wrong book, or the book is wrongly positioned.