Mathematics for Finance: An Introduction to Financial Engineering

Springer Undergraduate Mathematics Series

by Marek Capiński, Tomasz J. Zastawniak

This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

Genres: Finance, Mathematics, Economics

310 pages, Paperback

First published January 1, 2003

Reviews

[Peyman Haghighattalab · Rating 3 out of 5]

مارک کپینسکی استاد دانشگاه کراکف لهستان است. از آن دانشگاه های قدیمی و معتبر لهستان که در زمینه های مهندسی از دیرباز ید قدرتمندی داشته. آقای کپینسکی در زمینه ی مهندسی مالی یک کتاب 300 صفحه ای نوشته. کتابی که به قول خودش از یک منظر خیلی جالب است: این که در کتابی با این حجم اندک نظریات دو برنده ی نوبل اقتصاد تشریح می شود: نظریه ی سبد سهام و بهینه سازی پورتفلیوی هری مارکوویتز و نظریه ی قیمت های مشتقات مالی بلک شولز مرتون.
یک جورهایی می شود کتاب کپینسکی را "مهندسی مالی در سفر" نامید. تمام مباحث مهندسی مالی به اختصار در کتاب گنجانده شده. مانورهایی که روی نرخ بهره در این کتاب داده می شود و تاثیرات بالا و پایین شدن نرخ بهره بر جوانب مختلف بازارهای مالی برای من ایرانی مثل یک دنیای فانتزی پیچیده خیلی پیچیده بود... به عنوان یک کتاب مروری کتاب خوبی است. ولی به عنوان ورود به مباحث مهندسی مالی پیشنهاد نمی شود.

[Claudio Martel · Rating 5 out of 5]

Reference book. Well-crafted examples.

[Alex · Rating 4 out of 5]

Good introduction to degree-level mathematics applied to financial engineering, but does not give you the knowledge necessary to build sophisticated models yourself. Worked very well for me given I stopped learning maths at 18 at school and needed a refresher before getting into more heavy material. Will need to follow up with more research and practice in the area(s) you're most interested in, such as stochastic processes, options pricing, data analysis, etc. if you're looking to build your own quant models.

[JDK1962 · Rating 3 out of 5]

Good reference book, but could do with more worked examples. I confess that the higher chapters were skimmed more than read (if you're not actually needing to calculate option prices, then a detailed explanation of Black-Scholes isn't going to have much stickiness in your mind.

Also, while I understand how to walk through a n-step model, I'm not sure of the utility, since you're assigning what are essentially subjective probabilities (using the past to predict the future) to make what looks like a very objective projection.

[Christina Maya · Rating 5 out of 5]

A mathematic reference for the one who want to know about feasible analysis of bonds and stock (not for the issuer) but also for traders and realated to venture things.