OXFORD UNIVERSITY PRESS

Mathematical Finance: A Very Short Introduction

ISBN : 9780198787945

参考価格(税込): 
¥1,628
著者: 
Mark H. A. Davis
ページ
144 ページ
フォーマット
Paperback
サイズ
111 x 174 mm
刊行日
2019年01月
シリーズ
Very Short Introductions

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  • Offers an overview of mathematical finance today
  • Discusses developments to mathematical finance in the wake of the 2008 financial crash
  • Introduces arbitrage theory, and how it is key to pricing financial contracts, to credit trading, fund management, and the setting of interest rates
  • Accessible to readers with a basic knowledge of statistics and calculus

  
In recent years the finance industry has mushroomed to become an important part of modern economies, and many science and engineering graduates have joined the industry as quantitative analysts, with mathematical and computational skills that are needed to solve complex problems of asset valuation and risk management. An important parallel story exists of scientific endeavour. Between 1965-1995, insightful ideas in economics about asset valuation were turned into a mathematical 'theory of arbitrage', an enterprise whose first achievement was the famous 1973 Black-Scholes formula, followed by extensive investigations using all the resources of modern analysis and probability. The growth of the finance industry proceeded hand-in-hand with these developments. Now new challenges arise to deal with the fallout from the 2008 financial crisis and to take advantage of new technology, which has revolutionized the practice of trading. 
  
This Very Short Introduction introduces readers with no previous background in this area to arbitrage theory and why it works the way it does. Illuminating pricing theory, Mark Davis explains its applications to interest rates, credit trading, fund management and risk management. He concludes with a survey of the most pressing issues in mathematical finance today.

目次: 

Preface
1: Money, banking, and financial markets
2: Quantifying risks
3: The classical theory of option pricing
4: Interest rates
5: Credit risk
6: Fund management
7: Risk management
8: The banking crisis and its aftermatch
Epilogue
Further reading
Index

著者について: 

Mark H. A. Davis, Senior Research Fellow, Department of Mathematics, Imperial College London
 
Professor Mark Davis is Senior Research Fellow at the Department of Mathematics at Imperial College, London. With a PhD from the University of California, Berkeley, a background in electrical engineering and computer science, and an ScD in Mathematics from Cambridge University, Professor Davis spent five years as Head of Research and Product Development at the London-based investment bank Tokyo-Mitsubishi International, before setting up a Mathematical Finance group at Imperial College London. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002. He is the author of six books on stochastic analysis, optimisation and finance, most recently Risk-Sensitive Investment Management (World Scientific 2014), written with Sébastien Lleo.

"Only a scholar of the highest order could provide the depth, breadth, clarity, precision, and brevity to be found in this work. Enjoy the resulting gem." - Dilip B. Madan, Professor of Finance, Robert H. Smith School of Business

"This elegant little book will enthral readers looking for a clear sense of what mathematical finance is all about. Each chapter captures the essential ideas within a different aspect of the subject, without burying readers in abstruse models. Davis knows the subject so well, from both the mathematical and practical viewpoints, that he can make it accessible, relevant, and correct, all at the same time." - Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University

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