Mathematical finance
From Free net encyclopedia
Mathematical finance is the branch of applied mathematics concerned with the financial markets. The subject naturally has a close relationship with the discipline of financial economics, but mathematical finance is narrower in scope and more abstract. A central difference is that while a financial economist might study the structural reasons why a company may have a certain share price, a mathematician may take the share price as a given, and attempt to use stochastic calculus to obtain the fair value of derivatives of the stock.
Contents |
Mathematical finance articles
Mathematical tools
- Probability
- Probability distribution
- Expected value
- Value at risk
- Risk-neutral measure
- Stochastic calculus
- Brownian motion
- Itô's lemma
- Girsanov's theorem
- Radon-Nikodym derivative
- Monte Carlo method
- Partial differential equations
- Martingale representation theorem
- Feynman Kac Formula
- Dynkin formula
- Stochastic differential equations
- Volatility
- Mathematical model
- Numerical method
Derivatives pricing
- Rational pricing assumptions
- Risk neutral valuation
- Arbitrage-free pricing
- Futures
- Options
- Put-call parity (Arbitrage relationships for options)
- Moneyness
- Option time value
- Pricing models
- Interest rate derivatives
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See also
- Computational finance
- Financial Engineering
- Derivative (finance), list of derivatives topics
- Fundamental financial concepts - topics
- Model (economics)
- Systematic Trading
- List of finance topics, List of finance topics (alphabetical)
- List of economics topics, List of economists
- List of accounting topics
- List of marketing topics
- List of management topics
External links
- Prof. Don M. Chance - technical notes covering derivatives and related material
- Prof. Peter Carr (PDF) - FAQs in Option Pricing Theory
- finmath.com - Mathematical finance Reading List
- Global Derivatives Quantitative Mathematics Glossary
- Option Valuation, Prof. Campbell R. Harvey
- ISDA.org - The International Swaps and Derivatives Association
- Option Tutor - a visual presentation of modern option pricing theory
- Quantnotes.com - articles covering mathematical finance
- Riskglossary.com - online glossary, encyclopedia, and resource locator
- Riskworx.com - discussion of the application and theory of derivatives
- rmetrics.org - R based environment for teaching financial engineering and computational finance
- Moneyscience.org - open-access, multi disciplinary resource for academics and practitioners.
- TheQUANTsterBlog - informational resource with links, events and jobs.
- QuantFinanceJob.com - A community with quantitative finance guides, interview tips, book reviews and interview questions for Ph.Ds in physics,math and engineering to land a successful financial engineering job.
- QuantFinanceJobs.com - Specialist job board for quantitative finance, financial engineering and risk management.
- Econophysics Blog
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