Introduction

This book "Introduction to the Mathematics of Financial Derivatives" introduces in detail the mathematical principles and practical methods behind the pricing of financial derivatives. It is designed to help readers transition from basic financial engineering concepts to more advanced treatments of stochastic calculus. The book covers the core concepts of financial derivatives, including arbitrage theorem, deterministic calculus, probability theory tools, martingale and martingale representation, Wiener process, Levy process, and differential and integral calculus in stochastic environment (especially Ito's lemma). In addition, the book provides an in-depth exploration of key mathematical techniques such as stochastic differential equations, pricing derivatives through partial differential equations, and equivalent martingale measures, and their applications in finance. This book is suitable for quantitative analysts, algorithmic traders, financial engineers, data scientists, professionals interested in financial derivatives, doctoral students, and advanced MBA students, especially those with mathematical, technical, or physical backgrounds.

Main features

• Solid theoretical foundation
• Rich practical cases
• Clear operating instructions
• Suitable for practical applications

Suitable for the crowd

• Quantitative Analyst
• Algorithmic Trader
• Financial Engineer
• Data Scientist