Written for graduate students, this book presents the active and practical use of mathematics in finance. Applications and theory are demonstrated using MATLAB. Topics covered include asset pricing, portfolio allocation, and risk measurement. The revised second edition contains the most recent research in the area of incomplete markets and unhedgeable risks, as well as a new chapter on finite difference methods, and thoroughly updates all bibliographic references.
MATLAB is introduced and used to solve numerous examples in the book. In addition, a companion set of MATLAB code files is available for download.