Probability theory in finance : a mathematical guide to the BlackScholes formula
 Responsibility
 Seán Dineen.
 Language
 English.
 Edition
 Second edition.
 Publication
 Providence, Rhode Island : American Mathematical Society, [2013]
 Copyright notice
 ©2013
 Physical description
 xiv, 305 pages : illustrations ; 26 cm.
 Series
 Graduate studies in mathematics ; v. 70.
Access
Available online
Math & Statistics Library
Stacks
Call number  Status 

HF5691 .D57 2013  Unknown 
More options
Creators/Contributors
 Author/Creator
 Dineen, Seán, 1944
Contents/Summary
 Bibliography
 Includes bibliographical references (pages 299300) and index.
 Contents

 Table of Contents:* Money and markets * Fair games * Set theory * Measurable functions * Probability spaces * Expected values * Continuity and integrability * Conditional expectation * Lebesgue measure * Martingales * The BlackScholes formula * Stochastic integration * Solutions * Bibliography * Index.
 (source: Nielsen Book Data)
 Publisher's Summary
 The use of the BlackScholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of this book is to introduce advanced undergraduates and beginning graduate students studying the mathematics of finance to the BlackScholes formula. The author uses a firstprinciples approach, developing only the minimum background necessary to justify mathematical concepts and placing mathematical developments in context. The book skillfully draws the reader toward the art of thinking mathematically and then proceeds to lay the foundations in analysis and probability theory underlying modern financial mathematics. It rigorously reveals the mathematical secrets of topics such as abstract measure theory, conditional expectations, martingales, Wiener processes, the Ito calculus, and other ingredients of the BlackScholes formula. In explaining these topics, the author uses examples drawn from the universe of finance. The book also contains many exercises, some included to clarify simple points of exposition, others to introduce new ideas and techniques, and a few containing relatively deep mathematical results. The second edition contains numerous revisions and additional material designed to enhance the book's usability as a classroom text. These changes include insights gleaned by the author after teaching from the text, as well as comments and suggestions made by others who used the book. Whereas the revised edition maintains the original approach, format, and list of topics, most chapters are modified to some extent; in addition, the rearrangement of material resulted in a new chapter (Chapter 9). With the modest prerequisite of a first course in calculus, the book is suitable for undergraduates and graduate students in mathematics, finance, and economics and can be read, using appropriate selections, at a number of levels.
(source: Nielsen Book Data)
Subjects
 Subject
 Business mathematics.
Bibliographic information
 Publication date
 2013
 Copyright date
 2013
 Series
 Graduate studies in mathematics ; volume 70
 ISBN
 9780821894903 (alk. paper)
 0821894900 (alk. paper)