The worlds of Wall Street & The City have always held a certain allure but in recent years have left an indelible mark on the wider public consciousness & there has been a need to become more financially literate The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types whether for general interest or because of the enormous monetary rewards on offer An Introduction to Quantitative Finance concerns financial derivatives
- a derivative being a contract between two entities whose value derives from the price of an underlying financial asset
- & the probabilistic tools that were developed to analyse them The theory in the text is motivated by a desire to provide a suitably rigorous yet accessible foundation to tackle problems the author encountered whilst trading derivatives on Wall Street The book combines an unusual blend of real-world derivatives trading experience & rigorous academic background Probability provides the key tools for analysing & valuing derivatives The price of a derivative is closely linked to the expected value of its pay-out & suitably scaled derivative prices are martingales fundamentally important objects in probability theory The prerequisite for mastering the material is an introductory undergraduate course in probability The book is otherwise self-contained & in particular requires no additional preparation or exposure to finance It is suitable for a one-semester course quickly exposing readers to powerful theory & substantive problems The book may also appeal to students who have enjoyed probability & have a desire to see how it can be applied Signposts are given throughout the text to more advanced topics & to different approaches for those looking to take the subject further