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Cover

Mathematical Finance: A Very Short Introduction

Mark H. A. Davis

January 2019

ISBN: 9780198787945

160 pages
Paperback
174x111mm

In Stock

Very Short Introductions

Price: £8.99

Now a vital part of modern economies, the rapid growth of the finance industry in recent decades is largely due to the development of mathematical methods such as the theory of arbitrage. Asset valuation, credit trading, and fund management, now depend on these mathematical tools. Mark Davis explains the theories and their applications.

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Description

Now a vital part of modern economies, the rapid growth of the finance industry in recent decades is largely due to the development of mathematical methods such as the theory of arbitrage. Asset valuation, credit trading, and fund management, now depend on these mathematical tools. Mark Davis explains the theories and their applications.

  • 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
  • Part of the Very Short Introductions series - over nine million copies sold worldwide

About the Author(s)

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.

Table of Contents

    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

Reviews

"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