Steven Roman – Introduction to the Mathematics of Finance. From Risk Management to Options Pricing

Description

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Steven Roman – Introduction to the Mathematics of Finance. From Risk Management to Options Pricing

An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists.

Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.

Review

From the reviews of the first edition:

“The book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formula as a limiting case of the Cox-Ross-Rubinstein discrete model. … The mathematics is not watered down but is appropriate for the intended audience. … No background in finance is required, since the book also contains a chapter on options.” (L’ENSEIGNEMENT MATHEMATIQUE, Vol. 50 (3-4), 2004)

“The book is basically a textbook on the mathematics of financial derivatives on equity … . The text covers the material with precision, with detailed discussions, not avoiding the topics that require a bit more of mathematical maturity, and this it does with clarity. In particular, the discussion of optimal stopping is clear and detailed.” (Eusebio Corbache, Zentralblatt MATH, Vol. 1068, 2005)

From the Back Cover

The Mathematics of Finance has become a hot topic in applied mathematics ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for upper division undergraduate or beginning graduate students in mathematics, finance or economics. With the exception of an optional chapter on the Capital Asset Pricing Model, the book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model. The final chapter is devoted to American options.

The mathematics is not watered down but is appropriate for the intended audience. No measure theory is used and only a small amount of linear algebra is required. All necessary probability theory is developed in several chapters throughout the book, on a “need-to-know” basis. No background in finance is required, since the book also contains a chapter on options.

The author is Emeritus Professor of Mathematics, having taught at a number of universities, including MIT, UC Santa Barabara, the University of South Florida and the California State University, Fullerton. He has written 27 books in mathematics at various levels and 9 books on computing. His interests lie mostly in the areas of algebra, set theory and logic, probability and finance. When not writing or teaching, he likes to make period furniture, copy Van Gogh paintings and listen to classical music. He also likes tofu.

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