Item Successfully Added to Cart
An error was encountered while trying to add the item to the cart. Please try again.
OK
Please make all selections above before adding to cart
OK
Share this page via the icons above, or by copying the link below:
Copy To Clipboard
Successfully Copied!
Lectures on the Mathematics of Finance
 
Ioannis Karatzas Columbia University, New York, NY
A co-publication of the AMS and Centre de Recherches Mathématiques
Lectures on the Mathematics of Finance
eBook ISBN:  978-1-4704-3854-8
Product Code:  CRMM/8.E
List Price: $95.00
MAA Member Price: $85.50
AMS Member Price: $76.00
Lectures on the Mathematics of Finance
Click above image for expanded view
Lectures on the Mathematics of Finance
Ioannis Karatzas Columbia University, New York, NY
A co-publication of the AMS and Centre de Recherches Mathématiques
eBook ISBN:  978-1-4704-3854-8
Product Code:  CRMM/8.E
List Price: $95.00
MAA Member Price: $85.50
AMS Member Price: $76.00
  • Book Details
     
     
    CRM Monograph Series
    Volume: 81997; 148 pp
    MSC: Primary 90; Secondary 60; 93;

    In this text, the author discusses the main aspects of mathematical finance. These include arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested.

    This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

    Titles in this series are co-published with the Centre de recherches mathématiques.

    Readership

    Graduate students in mathematics, statistics, physics, and engineering who want to learn about the Mathematics of Finance.

  • Table of Contents
     
     
    • Chapters
    • Chapter 0. The model
    • Part 1. Complete Markets
    • Chapter 1. Pricing
    • Chapter 2. Optimization
    • Chapter 3. Equilibrium
    • Part 2. Incomplete Markets
    • Chapter 4. Hedging
    • Chapter 5. Optimization
    • Chapter 6. Pricing
    • Chapter 7. Transaction costs
  • Additional Material
     
     
  • Reviews
     
     
    • Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

      Zentralblatt für Didaktik der Mathematik
    • Provides an excellent introduction to a wide range of topics in mathematical finance.

      Mathematical Reviews
    • The young researcher/postgraduate student will be able to glance at the forefront of current research in mathematical finance. The author's clear and careful writing makes reading a pleasure. A lot of material, hitherto available only in research papers, will now reach a wider audience. This is a most useful addition to the fast growing literature on mathematical finance.

      Short Book Reviews, a publication of the International Statistical Institute
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Accessibility – to request an alternate format of an AMS title
Volume: 81997; 148 pp
MSC: Primary 90; Secondary 60; 93;

In this text, the author discusses the main aspects of mathematical finance. These include arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested.

This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Titles in this series are co-published with the Centre de recherches mathématiques.

Readership

Graduate students in mathematics, statistics, physics, and engineering who want to learn about the Mathematics of Finance.

  • Chapters
  • Chapter 0. The model
  • Part 1. Complete Markets
  • Chapter 1. Pricing
  • Chapter 2. Optimization
  • Chapter 3. Equilibrium
  • Part 2. Incomplete Markets
  • Chapter 4. Hedging
  • Chapter 5. Optimization
  • Chapter 6. Pricing
  • Chapter 7. Transaction costs
  • Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

    Zentralblatt für Didaktik der Mathematik
  • Provides an excellent introduction to a wide range of topics in mathematical finance.

    Mathematical Reviews
  • The young researcher/postgraduate student will be able to glance at the forefront of current research in mathematical finance. The author's clear and careful writing makes reading a pleasure. A lot of material, hitherto available only in research papers, will now reach a wider audience. This is a most useful addition to the fast growing literature on mathematical finance.

    Short Book Reviews, a publication of the International Statistical Institute
Review Copy – for publishers of book reviews
Accessibility – to request an alternate format of an AMS title
Please select which format for which you are requesting permissions.