Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to el...

The ideal review for your probability and statistics courseMore than 40 million students have trusted Schaum’s Outlines for their expert knowledge and helpful solved problems. Written by renowned experts in this field, Schaum's Outline of Probability and Statistics covers what you need to know for your course and, more important, your exams. Step-by-step, the authors walk you through coming up with solutions to exercises in this topic.760 ful...

The most authoritative and comprehensive synthesis of modern econometrics availableEconometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified fr...

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and...

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and sch...

Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more a...

A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . .You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out.Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and m...

The aim of this book is to bring students of economics and finance who have only an introductory background in mathematics up to a quite advanced level in the subject, thus preparing them for the core mathematical demands of econometrics, economic theory, quantitative finance and mathematical economics, which they are likely to encounter in their final-year courses and beyond. The level of the book will also be useful for those embarking on the first year of their graduate studies in Busin...

The Nobel Prize-winning Father of Modern Portfolio Theory re-introduces his theories for the current world of investingLegendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long runIn Risk-Return Analysis, Markowitz corrects common misunderstandings about Modern Portfolio Theory (MPT) to help advanced financial practitioners dramatically improve their decision m...

This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book.Financial mathematics is an application of advanced mathematical and statistica...

The focus of this book is on the two major areas of risk theory: aggregate claims distributions and ruin theory. For aggregate claims distributions, detailed descriptions are given of recursive techniques that can be used in the individual and collective risk models. For the collective model, the book discusses different classes of counting distribution, and presents recursion schemes for probability functions and moments. For the individual model, the book illustrates the three most commo...

The book provides a rigorous introduction to corporate finance and the valuation of equity. The first half of the book covers much of the received theory in these areas such as the relationship between the risk of an equity security and the return one can expect from it, the effects of leverage (that is, the borrowing policies of the firm) on the return one can expect from the firm’s shares and the role that dividends, operating cash flows and accounting earnings play in the valuation of e...