Financial mathematics
Financial mathematics is the branch of applied mathematics concerned with the financial markets. The subject naturally has a close relationship with the discipline of financial economics, however the subject is narrower in scope and more abstract. A central difference is that whilst 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.
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Financial mathematics 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
- Futures
- Options
- Interest rate derivatives
- Short rate model
- Brace-Gatarek-Musiela model
- Heath-Jarrow-Morton framework
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See also
- Financial Engineering
- Derivative securities, list of derivatives topics
- Fundamental financial concepts - topics
- Model (economics)
Related articles
- 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
- ISDA.org - The International Swaps and Derivatives Association
- Quantitative Mathematics Glossary - a guide to derivatives and risk terminology from Global-Derivatives
- Quantnotes.com - introductory articles covering mathematical finance
- technical notes covering derivatives and related material, Prof. Don M. Chance
- rmetrics.org - A R based environment for teaching financial engineering and computational finance
- finmath.com - Financial Mathematics Reading List
- Moneyscience.org - An open-access resource for academics and practitioners working in finance and economics, physics, applied mathematics and computing.
- Riskglossary.com - an online glossary, encyclopedia, and resource locator
- Option Tutor - a visual presentation of modern option pricing theory
- Riskworx.com - discussion of the application and theory of derivatives
- QUANTster.com - The Quantitative and Financial Job Market Daily
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