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Mathematical Finance: Core Theory, Problems and Statistical Algorithms by Dokuchaev
Synopsis
Nikolai Dokuchaev's comprehensive text book provides a systematic, self-sufficient and yet short presentation of the mainstream topics of mathematical finance and related parts of stochastic analysis and statistical finance that covers typical university programs. It can be used as either a point of reference or to provide fundamentals for further research.
Starting with an introduction to probability theory, the book offers a detailed study of discrete and continuous time market models, a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing, and a detailed discussion of options and their pricing, including American options in continuous time setting. All basic concepts and results are given with proofs and with numerous examples and problems. This handy introduction to the topic is a useful counterpart to other Routledge books including Barry Goss's Models of Futures Markets and Advanced Mathematical Economics by Rakesh Vohra. It is suitable for undergraduate and postgraduate courses and advanced degree programs, as well as academics and practitioners.
About the Author:
Nikolai Dokuchaev is Associate Professor in the Department of Mathematics, Trent University, Ontario, Canada
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