1st Edition

Introducing Financial Mathematics Theory, Binomial Models, and Applications

By Mladen Victor Wickerhauser Copyright 2023
    304 Pages 19 B/W Illustrations
    by Chapman & Hall

    304 Pages 19 B/W Illustrations
    by Chapman & Hall

    Introducing Financial Mathematics: Theory, Binomial Models, and Applications seeks to replace existing books with a rigorous stand-alone text that covers fewer examples in greater detail with more proofs. The book uses the fundamental theorem of asset pricing as an introduction to linear algebra and convex analysis. It also provides example computer programs, mainly Octave/MATLAB functions but also spreadsheets and Macsyma scripts, with which students may experiment on real data.The text's unique coverage is in its contemporary combination of discrete and continuous models to compute implied volatility and fit models to market data. The goal is to bridge the large gaps among nonmathematical finance texts, purely theoretical economics texts, and specific software-focused engineering texts.

    Basics

    Continuous Models

    Discrete Models

    Exotic Options

    Forwards and Futures

    Dividends and Interest

    Implied Volatility

    Fundamental Theorems

    Project Suggestions

    Answers and Index

    Biography

    Mladen Victor Wickerhauser is professor of mathematics and statistics at Washington University, St. Louis. He holds a PhD from Yale University. ​Professor Wickerhauser’s research interests include harmonic analysis, wavelets, and numerical algorithms for data compression. He has six US patents and 118 publications, one of which led to an algorithm used by the FBI to encode fingerprint images.