This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
From the reviews:
...This book is a valuable addition to a graduate student's reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd. SIAM Review, December 2005
From the reviews of the second edition:
The book is very carefully formatted. ... this book is a valuable addition to a graduate student's reference collection. The number of textbooks in mathematical finance is increasing much faster than the number of revolutionary contributions to the field, but this text stands above the crowd. (Alexandre D'Aspremont, SIAM Reviews, December, 2005)
The emphasis of the first edition of this book was on developing the mathematical concepts for the rapidly expanding field of mathematical finance. This second edition contains a significant number of changes and additions ... . The target audience is readers with sound mathematical background on elementary concepts from measure-theoretic probability ... . It should be an equally valuable resource to practitioners interested in the mathematical tools ... . will be a very useful addition to any scholarly library. (Theofanis Sapatinas, Journal of Applied Sciences, Vol. 32 (6), 2005)
The second edition adds new matieral from current active research areas. A new chapter on coherent risk measures for instance reflects the recent trend in research and applications in the area of risk management. In summary, this is an excellent textbook in mathematical finance, and I can definitely recommend it. (S. Peng, Short Book Reviews of the ISI, June 2006)