Published online by Cambridge University Press: 05 June 2012
The aim of this book is to present a lively and palatable introduction to financial option valuation for undergraduate students in mathematics, statistics and related areas. Prerequisites have been kept to a minimum. The reader is assumed to have a basic competence in calculus up to the level reached by a typical first year mathematics programme. No background in probability, statistics or numerical analysis is required, although some previous exposure to material in these areas would undoubtedly make the text easier to assimilate on first reading.
The contents are presented in the form of short chapters, each of which could reasonably be covered in a one hour teaching session. The book grew out of a final year undergraduate class called The Mathematics of Financial Derivatives that I have taught, in collaboration with Professor Xuerong Mao, at the University of Strathclyde. The class is aimed at students taking honours degrees in Mathematics or Statistics, or joint honours degrees in various combinations of Mathematics, Statistics, Economics, Business, Accounting, Computer Science and Physics. In my view, such a class has two great selling points.
From a student perspective, the topic is generally perceived as modern, sexy and likely to impress potential employers.
From the perspective of a university teacher, the topic provides a focus for ideas from mathematical modelling, analysis, stochastics and numerical analysis.
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