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Mathematics of Financial Obligations
 
A. V. Mel′nikov Steklov Institute of Mathematics, Moscow, Russia
S. N. Volkov Steklov Institute of Mathematics, Moscow, Russia
M. L. Nechaev Steklov Institute of Mathematics, Moscow, Russia
Front Cover for Mathematics of Financial Obligations
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Hardcover ISBN: 978-0-8218-2945-5
Product Code: MMONO/212
List Price: $96.00
MAA Member Price: $86.40
AMS Member Price: $76.80
Electronic ISBN: 978-1-4704-4637-6
Product Code: MMONO/212.E
List Price: $90.00
MAA Member Price: $81.00
AMS Member Price: $72.00
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This product is available for purchase as a bundle. Purchasing as a bundle enables you to save on the electronic version.
List Price: $144.00
MAA Member Price: $129.60
AMS Member Price: $115.20
Front Cover for Mathematics of Financial Obligations
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  • Front Cover for Mathematics of Financial Obligations
  • Back Cover for Mathematics of Financial Obligations
Mathematics of Financial Obligations
A. V. Mel′nikov Steklov Institute of Mathematics, Moscow, Russia
S. N. Volkov Steklov Institute of Mathematics, Moscow, Russia
M. L. Nechaev Steklov Institute of Mathematics, Moscow, Russia
Available Formats:
Hardcover ISBN:  978-0-8218-2945-5
Product Code:  MMONO/212
List Price: $96.00
MAA Member Price: $86.40
AMS Member Price: $76.80
Electronic ISBN:  978-1-4704-4637-6
Product Code:  MMONO/212.E
List Price: $90.00
MAA Member Price: $81.00
AMS Member Price: $72.00
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: $144.00
MAA Member Price: $129.60
AMS Member Price: $115.20
  • Book Details
     
     
    Translations of Mathematical Monographs
    Volume: 2122002; 194 pp
    MSC: Primary 91; Secondary 60; 62;

    Contemporary finance and actuarial calculations have become so mathematically complex that a rigorous exposition is required for an accurate and complete presentation. This volume delivers just that. It gives a comprehensive and up-to-date methodology for financial pricing and modelling. Also included are special cases useful for practical applications.

    Beyond the traditional areas of hedging and investment on complete markets (the Black–Scholes and Cox–Ross–Rubinstein models), the book includes topics that are not currently available in monograph form, such as incomplete markets, markets with constraints, imperfect forms of hedging, and the convergence of calculations in finance and insurance.

    The book is geared toward specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and post-docs in corresponding areas of study. Readers should have a foundation in probability theory, random processes, and mathematical statistics.

    Readership

    Specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and post-docs in corresponding areas of study.

  • Table of Contents
     
     
    • Chapters
    • Financial systems: Innovations and the risk calculus
    • Random processes and the stochastic calculus
    • Hedging and investment in complete markets
    • Hedging and incomplete markets
    • Markets with structural constraints and transaction costs
    • Imperfect forms of hedging
    • Dynamic contingent claims and American options
    • Analysis of “bond” contingent claims
    • Economics of insurance and finance: Convergence of quantitative methods of calculations
  • Additional Material
     
     
  • Reviews
     
     
    • The style of this monograph is precise, correct and includes the necessary details … good and up-to-date references … recommend it to both theoreticians and practitioners in mathematical finance and insurance … can also serve as a modern course in actuarial and financial mathematics and quantitative risk management for students in mathematical economics.

      Mathematical Reviews
  • Request Review Copy
  • Get Permissions
Volume: 2122002; 194 pp
MSC: Primary 91; Secondary 60; 62;

Contemporary finance and actuarial calculations have become so mathematically complex that a rigorous exposition is required for an accurate and complete presentation. This volume delivers just that. It gives a comprehensive and up-to-date methodology for financial pricing and modelling. Also included are special cases useful for practical applications.

Beyond the traditional areas of hedging and investment on complete markets (the Black–Scholes and Cox–Ross–Rubinstein models), the book includes topics that are not currently available in monograph form, such as incomplete markets, markets with constraints, imperfect forms of hedging, and the convergence of calculations in finance and insurance.

The book is geared toward specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and post-docs in corresponding areas of study. Readers should have a foundation in probability theory, random processes, and mathematical statistics.

Readership

Specialists in finance and actuarial mathematics, practitioners in the financial and insurance business, students, and post-docs in corresponding areas of study.

  • Chapters
  • Financial systems: Innovations and the risk calculus
  • Random processes and the stochastic calculus
  • Hedging and investment in complete markets
  • Hedging and incomplete markets
  • Markets with structural constraints and transaction costs
  • Imperfect forms of hedging
  • Dynamic contingent claims and American options
  • Analysis of “bond” contingent claims
  • Economics of insurance and finance: Convergence of quantitative methods of calculations
  • The style of this monograph is precise, correct and includes the necessary details … good and up-to-date references … recommend it to both theoreticians and practitioners in mathematical finance and insurance … can also serve as a modern course in actuarial and financial mathematics and quantitative risk management for students in mathematical economics.

    Mathematical Reviews
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