PDF Ebook A Course in Financial Calculus, by Alison Etheridge
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A Course in Financial Calculus, by Alison Etheridge
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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.
- Sales Rank: #1121788 in Books
- Color: Purple
- Brand: Brand: Cambridge University Press
- Published on: 2002-09-16
- Original language: English
- Number of items: 1
- Dimensions: 8.98" h x .43" w x 5.98" l, .98 pounds
- Binding: Paperback
- 206 pages
- Used Book in Good Condition
Review
Etheridge offers an interesting, self-contained, and readable book highlighting advanced mathematical techniques used to solve complex financial market problems. Recommended." Choice
Most helpful customer reviews
5 of 5 people found the following review helpful.
not suitable for self study
By LocalVolatility
Our teacher used Financial Calculus as the secondary book for a continuous time finance class. The first book was Steven Shreve's Stochastic Calculus for Finance II. I only read selected chapter from this book - so I can't give a full review on it. Overall it is a decent book that would still not recommend - especially not for self-study. The biggest problems from my point of view are:
1) The notation is sometimes awkward and often inconsistent. The first point might be purely subjective but I just find Shreve's boook so much easier too read although the technical level is comparable.
2) There are no errata for this book online (as of the time of this review). I came a across a few potential mistakes but in the end could never check if I was right or not. In contrast, Shreve's book is the standard textbook and you can assume that most errors have been found and reported already. He keeps a list of known errate on his homepage.
3) The exercises are sometimes solely testing knowledge (i.e. solution of ODEs or computation of some ridiculous integrals) that does not add to the understanding of the key concepts developed in the chapter. In contrast to Shreve's book, the exercises do not guide you through the solution but just state the problem and leave you on your own.
4) There are no solutions available. The same applies to Shreve's book but as mentioned before, he guides you through the exercises and in most cases gives the result. I.e. you can almost always check if you got it right or not. In contrast, this book neither provides intermediate steps nor solutions.
My conclusion is - get this book as an add-on text if you already have one or more books on this subject. Get Shreve's book as your first book if you want to start studying stochastic calculus applied to finance. Never buy this book, if you plan to work through the exercises in self study. Three stars because the book itself is OK as an additional resource.
27 of 34 people found the following review helpful.
No answers to the exercises
By Konstantin Olkhin
They claim there are more than 130 exercises, but don't provide solutions. You need to be a teacher to get a password from their web site to get an access to them. It's very dissapointing. What use of them?
0 of 0 people found the following review helpful.
Five Stars
By Sunny M.
Great book for those looking to expand their knowledge on the subject.
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