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The Mathematics of Finance: Modeling and Hedging
 
Victor Goodman Indiana University, Bloomington, IN
Joseph Stampfli Indiana University, Bloomington, IN
Front Cover for The Mathematics of Finance
Available Formats:
Hardcover ISBN: 978-0-8218-4793-0
Product Code: AMSTEXT/7
List Price: $70.00
MAA Member Price: $63.00
AMS Member Price: $56.00
Electronic ISBN: 978-1-4704-1120-6
Product Code: AMSTEXT/7.E
List Price: $66.00
MAA Member Price: $59.40
AMS Member Price: $52.80
Bundle Print and Electronic Formats and Save!
This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $105.00
MAA Member Price: $94.50
AMS Member Price: $84.00
Front Cover for The Mathematics of Finance
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  • Front Cover for The Mathematics of Finance
  • Back Cover for The Mathematics of Finance
The Mathematics of Finance: Modeling and Hedging
Victor Goodman Indiana University, Bloomington, IN
Joseph Stampfli Indiana University, Bloomington, IN
Available Formats:
Hardcover ISBN:  978-0-8218-4793-0
Product Code:  AMSTEXT/7
List Price: $70.00
MAA Member Price: $63.00
AMS Member Price: $56.00
Electronic ISBN:  978-1-4704-1120-6
Product Code:  AMSTEXT/7.E
List Price: $66.00
MAA Member Price: $59.40
AMS Member Price: $52.80
Bundle Print and Electronic Formats and Save!
This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $105.00
MAA Member Price: $94.50
AMS Member Price: $84.00
  • Book Details
     
     
    Pure and Applied Undergraduate Texts
    Volume: 72001; 250 pp
    MSC: Primary 91; Secondary 60;

    This book is ideally suited for an introductory undergraduate course on financial engineering. It explains the basic concepts of financial derivatives, including put and call options, as well as more complex derivatives such as barrier options and options on futures contracts. Both discrete and continuous models of market behavior are developed in this book. In particular, the analysis of option prices developed by Black and Scholes is explained in a self-contained way, using both the probabilistic Brownian Motion method and the analytical differential equations method.

    The book begins with binomial stock price models, moves on to multistage models, then to the Cox–Ross–Rubinstein option pricing process, and then to the Black–Scholes formula. Other topics presented include Zero Coupon Bonds, forward rates, the yield curve, and several bond price models. The book continues with foreign exchange models and the Keynes Interest Rate Parity Formula, and concludes with the study of country risk, a topic not inappropriate for the times.

    In addition to theoretical results, numerical models are presented in much detail. Each of the eleven chapters includes a variety of exercises.

    An instructor's manual for this title is available electronically. Please send email to textbooks@ams.org for more information.

    Readership

    Undergraduate students interested in financial engineering.

  • Table of Contents
     
     
    • Cover
    • Title page
    • Copyright
    • Dedication
    • Preface
    • Contents
    • Chapter 1. Financial markets
    • Chapter 2. Binomial trees, replicating portfolios, and arbitrage
    • Chapter 3. Tree models for stocks and options
    • Chapter 4. Using spreadsheets to compute stock and option trees
    • Chapter 5. Continuous models and the Black-Scholes formula
    • Chapter 6. The analytic approach to Black-Scholes
    • Chapter 7. Hedging
    • Chapter 8. Bond models and interest rate options
    • Chapter 9. Computational methods for bonds
    • Chapter 10. Currency markets and foreign exchange risks
    • Chapter 11. International political risk analysis
    • Answers to selected exercises
    • Index
    • Back Cover
  • Reviews
     
     
    • [T]he book is a worthwhile contribution to the literature...Its main strength is that it provides an introduction to mathematical finance at a level that is not too technical. Indeed, it is very successful in achieving this outcome...[P]rospective undergraduate students of financial mathematics will find life much easier by reading [this] book.

      Kam Fong Chan, Pacific Accounting Review
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  • Request Review Copy
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Volume: 72001; 250 pp
MSC: Primary 91; Secondary 60;

This book is ideally suited for an introductory undergraduate course on financial engineering. It explains the basic concepts of financial derivatives, including put and call options, as well as more complex derivatives such as barrier options and options on futures contracts. Both discrete and continuous models of market behavior are developed in this book. In particular, the analysis of option prices developed by Black and Scholes is explained in a self-contained way, using both the probabilistic Brownian Motion method and the analytical differential equations method.

The book begins with binomial stock price models, moves on to multistage models, then to the Cox–Ross–Rubinstein option pricing process, and then to the Black–Scholes formula. Other topics presented include Zero Coupon Bonds, forward rates, the yield curve, and several bond price models. The book continues with foreign exchange models and the Keynes Interest Rate Parity Formula, and concludes with the study of country risk, a topic not inappropriate for the times.

In addition to theoretical results, numerical models are presented in much detail. Each of the eleven chapters includes a variety of exercises.

An instructor's manual for this title is available electronically. Please send email to textbooks@ams.org for more information.

Readership

Undergraduate students interested in financial engineering.

  • Cover
  • Title page
  • Copyright
  • Dedication
  • Preface
  • Contents
  • Chapter 1. Financial markets
  • Chapter 2. Binomial trees, replicating portfolios, and arbitrage
  • Chapter 3. Tree models for stocks and options
  • Chapter 4. Using spreadsheets to compute stock and option trees
  • Chapter 5. Continuous models and the Black-Scholes formula
  • Chapter 6. The analytic approach to Black-Scholes
  • Chapter 7. Hedging
  • Chapter 8. Bond models and interest rate options
  • Chapter 9. Computational methods for bonds
  • Chapter 10. Currency markets and foreign exchange risks
  • Chapter 11. International political risk analysis
  • Answers to selected exercises
  • Index
  • Back Cover
  • [T]he book is a worthwhile contribution to the literature...Its main strength is that it provides an introduction to mathematical finance at a level that is not too technical. Indeed, it is very successful in achieving this outcome...[P]rospective undergraduate students of financial mathematics will find life much easier by reading [this] book.

    Kam Fong Chan, Pacific Accounting Review
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