The Mathematics of Financial Derivatives: A Student Introduction

by P. Wilmott, Sam Howison, Jeff Dewynne

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Genres: Finance, Mathematics, Textbooks

317 pages, Paperback

First published September 29, 1995

Reviews

[Dimitri · Rating 4 out of 5]

A good introduction to Black-Scholes type modeling for pricing financial derivatives. The only real prerequisite is familiarity with partial differential equations. The book is written at the applied rather than the theoretical level.

[Harry Lawrence · Rating 3 out of 5]

There are some very interesting things in this book, but the subtitle "A Student Introduction" is a bit misleading. A lot of the workings out are either rushed through or missed altogether, students looking for an actual introduction to finance will have trouble with this book (I'm a year 2 maths student). Will pick it back up in a few years and I'm sure it will be useful then.