- Table View
- List View
This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.
March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Select your download format based upon: 1) how you want to read your book, and 2) compatibility with your reading tool. For more details, visit the Formats page under the Getting Started tab.See and hear words read aloud
- DAISY Text - See words on the screen and hear words being read aloud with the text-to-speech voice installed on your reading tool. Navigate by page, chapter, section, and more. Can also be used in audio-only mode. Compatible with many reading tools, including Bookshare’s free reading tools.
- DAISY Text with Images - Similar to DAISY Text with the addition of images within the Text. Your reading tool must support images.
- Read Now with Bookshare Web Reader - Read and see images directly from your Internet browser without downloading! Text-to-speech voicing and word highlighting are available on Google Chrome (extension installation required). Other browsers can be used with limited features. Learn more
- DAISY Audio - Listen to books in audio-only mode with the high-quality Kendra voice by Ivona pre-installed. Navigate by page, chapter, section, and more. Must be used with a DAISY Audio compatible reading tool.
- MP3 - Listen to books in audio-only mode with the high-quality Kendra voice by Ivona pre-installed. Navigate using tracks. Can be used with any MP3 player.
- BRF (Braille Ready Format) - Read with any BRF compatible refreshable braille display; navigate using the search or find feature.
- DAISY Text - Read with any DAISY 3.0 compatible refreshable braille display, navigate by page, chapter, section, and more.
- Embossed Braille - Use Bookshare’s DAISY Text or BRF formats to generate embossed braille.