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Probability theory in finance: a mathematical guide to the black-scholes formula

By: Material type: TextTextSeries: Graduate studies in mathematics ; v. 70Publication details: 2011 University Press HyderabadDescription: xiii, 294 pISBN:
  • 9780821868812
Subject(s): DDC classification:
  • 332.01519 D4P7
Summary: 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 It? calculus, and other ingredients of the Black-Scholes 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.
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 17-B / Slot 634 (0 Floor, West Wing) General Stacks 332.01519 D4P7 (Browse shelf(Opens below)) Checked out 17/09/2025 173455

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 It? calculus, and other ingredients of the Black-Scholes 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.

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