An Undergraduate Introduction to Financial Mathematics by J Robert Buchanan Book

Sections

The Theory of Interest
1.1 Simple Interest
1.2 Compound Interest
1.3 Continuously Compounded Interest
1.4 Present Value
1.5 Rate of Return
1.6 Exercises
Discrete Probability
2.1 Events and Probabilities
2.2 Addition Rule
2.3 Conditional Probability and Multiplication Rule
2.4 Random Variables and Probability Distributions
2.5 Binomial Random Variables
2.6 Expected Value
2.7 Variance and Standard Deviation
2.8 Exercises
Normal Random Variables and Probability
3.1 Continuous Random Variables
3.2 Expected Value of Continuous Random Variables
3.3 Variance and Standard Deviation
3.4 Normal Random Variables
3.5 Central Limit Theorem
3.6 Lognormal Random Variables
3.7 Properties of Expected Value
3.8 Properties of Variance
3.9Exercises
The Arbitrage Theorem
4.1 The Concept of Arbitrage
4.2 Duality Theorem of Linear Programming
4.2.1 Dual Problems
4.3 The Fundamental Theorem of Finance
4.4 Exercises
Random Walks and Brownian Motion
5.1 Intuitive Idea of a Random Walk
5.2 First Step Analysis
5.3 Intuitive Idea of a Stochastic Process
5.4 Stock Market Example
5.5 More About Stochastic Processes
5.6 Ito's Lemma
5.7 Exercises
6.1 Properties of Options
6.2 Pricing an Option Using a Binary Model
6.3 Black-Scholes Partial Differential Equation
6.4 Boundary and Initial Conditions
6.5 Exercises
Solution of the Black-Scholes Equation
7.1 Fourier Transforms
7.2 Inverse Fourier Transforms
7.3 Changing Variables in the Black-Scholes PDE
7.4 Solving the Black-Scholes Equation
7.5 Exercises
Derivatives of Black-Scholes Option Prices
8.1 Theta
8.2 Delta
8.3 Gamma
8.4 Vega
8.5 Rho
8.6 Relationships Between A, 0, and T
8.7 Exercises
9.1 General Principles
9.2 Delta Hedging
9.3 Delta Neutral Portfolios
9.4 Gamma Neutral Portfolios
9.5 Exercises
Optimizing Portfolios
10.1 Covariance and Correlation
10.2 Optimal Portfolios
10.3 Utility Functions
10.4 Expected Utility
10.5 Portfolio Selection
10.6 Minimum Variance Analysis
10.7 Mean Variance Analysis
10.8 Exercises
B.l The Theory of Interest
B.2 Discrete Probability
B.3 Normal Random Variables and Probability
B.4 The Arbitrage Theorem
B.5 Random Walks and Brownian Motion
B.6 Options
B.7 Solution of the Black-Scholes Equation
B.8 Derivatives of Black-Scholes Option Prices
B.10 Optimizing Portfolios
Bibliography
Index

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08/02/2010

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