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Elementary Calculus of Financial MathematicsElementary Calculus of Financial Mathematics

A. J. Roberts

Mathematical Modeling and Computation 15

Modern financial mathematics relies on the theory of random processes in time, reflecting the erratic fluctuations in financial markets.This book introduces the fascinating area of financial mathematics and its calculus in an accessible manner geared toward undergraduate students. Using little high-level mathematics, the author presents the basic methods for evaluating financial options and building financial simulations.

By emphasizing relevant applications and illustrating concepts with color graphics, Elementary Calculus of Financial Mathematics presents the crucial concepts needed to understand financial options among these fluctuations. Among the topics covered are the binomial lattice model for evaluating financial options, the Black–Scholes and Fokker–Planck equations, and the interpretation of Ito’s formula in financial applications. Each chapter includes exercises for student practice and the appendices offer MATLAB® and SCILAB code as well as alternate proofs of the Fokker–Planck equation and Kolmogorov backward equation.

This book will be useful to teachers and undergraduate students of mathematics or finance.


About the Author
A. J. Roberts is a Professor and Chair in the School of Mathematical Sciences at the University of Adelaide. He has lectured and conducted research at the University of New South Wales and the University of Southern Queensland, and has published over 100 refereed international journal articles. As a leader in developing and applying a branch of modern dynamical systems theory, in conjunction with new computer algebra algorithms in scientific computing, Professor Roberts derives and interprets mathematical and computational models of complex multiscale systems, both deterministic and stochastic.

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stochastic processes; financial mathematics; differential equations; option valuation

2009 / xii + 128 pages / softcover / ISBN: 978-0-898716-67-2
List Price $61.50 / SIAM Member Price $43.05 / Order Code MM15
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Banner art adapted from a figure by Hinke M. Osinga and Bernd Krauskopf (University of Auckland, NZ.)