Mathematical finance
From Wikipedia, the free encyclopedia
Mathematical finance is the branch 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.
In terms of practice, mathematical finance also overlaps heavily with the fields of financial engineering and computational finance. Arguably, all three are largely synonymous, although the latter two focus on application, while the former focuses on modelling and derivation; see Quantitative analyst.
Many universities around the world now offer degree and research programs in mathematical finance.
Contents |
[edit] Mathematical finance articles
[edit] Mathematical tools
- Calculus
- Differential equation
- 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
- 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
- Financial Engineering
- 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 finance topics (alphabetical)
- List of economics topics, List of economists
- List of accounting topics
- List of marketing topics
- List of management topics
[edit] External links
- Global Derivatives Quantitative Mathematics Glossary
- Quantnotes.com - articles covering mathematical finance
- Financial Mathematics Wiki-Financial Mathematics Wiki with emphasis on credit derivatives
[edit] Theory
- Mathematics of Financial Markets, Prof. Mark Davis, Imperial College
- Option Valuation, Prof. Campbell R. Harvey
[edit] Research
- Oxford-Man Institute, University of Oxford
- Quantitative Finance Research Papers at the University of Technology, Sydney
General areas of finance |
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| Financial markets · Investment management · Financial institutions · Personal finance · Public finance · Mathematical finance · Financial economics · Experimental finance · Computational finance |
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