Mathematical finance
From Wikipedia, the free encyclopedia
Mathematical finance are the branchs of applied mathematics concerned with the financial markets.
The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive, and extend, the mathematical or numerical models suggested by financial economics. Thus, for example, while a financial economist might study the structural reasons why a company may have a certain share price, a financial 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 (see: Valuation of options).
In terms of practice, mathematical finance also overlaps heavily with the field of computational finance (also known as financial engineering). Arguably, these are largely synonymous, although the latter focuses on application, while the former focuses on modeling and derivation (see: Quantitative analyst).
The fundamental theorem of arbitrage-free pricing is one of the key theorems in mathematical finance.
Many universities around the world now offer degree and research programs in mathematical finance.
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[edit] Mathematical finance articles
[edit] Mathematical tools
- Asymptotic analysis
- Calculus
- Differential equation
- Ergodic theory
- Numerical analysis
- Real analysis
- Probability
- Probability distribution
- Expected value
- Value at risk
- Risk-neutral measure
- Stochastic calculus
- Itô's lemma
- Fourier transform
- Girsanov's theorem
- Radon-Nikodym derivative
- Monte Carlo method
- Quantile function
- Partial differential equations
- Martingale representation theorem
- Feynman Kac Formula
- Stochastic differential equations
- Volatility
- Stochastic volatility
- Mathematical model
- Numerical method
[edit] Derivatives pricing
- Rational pricing assumptions
- Risk neutral valuation
- Arbitrage-free pricing
- Futures
- Options
- Put–call parity (Arbitrage relationships for options)
- Intrinsic value, Time value
- Moneyness
- Pricing models
- Optimal stopping (Pricing of American options)
- Interest rate derivatives
[edit] See also
- Computational finance
- Quantitative Behavioral Finance
- Derivative (finance), list of derivatives topics
- Modeling and analysis of financial markets
- International Swaps and Derivatives Association
- Fundamental financial concepts - topics
- Model (economics)
- List of finance topics
- List of economics topics, List of economists
- List of accounting topics
[edit] External links
- Global Derivatives Quantitative Mathematics Glossary
- Mathematics of Financial Markets, Prof. Mark Davis, Imperial College
- Option Valuation, Prof. Campbell R. Harvey
- Oxford-Man Institute, University of Oxford
- Quantitative Finance Research Papers at the University of Technology, Sydney
- King's College, London, Financial Mathematics
- 'Topics in the History of Financial Mathematics', study day with numerous speakers held at Gresham College, 25 April 2008
- Imperial College, London, Mathematical Finance.
- Birkbeck, University of London, London, Financial Engineering.
- Notes on Quantitative Analysis in Finance
- http://www.ndfc.in - (Finance Search Engine)
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