Modern maths models

As research increases the range and scope of our understanding of the economics and mathematics of financial markets, we need books such as this that summarise and explain the topic's different models.

In this volume, authors Jaksa Cvitanic and Fernando Zapatero do more than provide an introduction to the subject. Within its 500 pages they give a comprehensive overview of the different mathematical models that form the foundation of current thinking in financial economics, financial engineering and mathematical finance.

There are sections covering all the main developments in the field on markets, derivative securities and equilibrium models, and within each section there is a description of all the familiar - and not-so-familiar - models in finance: the capital asset pricing model, factor models, Black-Scholes and so on. Usefully, where appropriate, the authors discuss the empirical evidence. In handling these topics, they have adopted a consistent approach throughout, explaining each model in an intuitive way, without seeking to provide a rigorous proof.

As an overview of the mathematics of finance, the book is suitable as a primer for graduate programmes and advanced courses in finance and financial economics. It will aid PhD students' understanding of this important area in finance and economics. It provides useful end-of-chapter problems and suggested further reading.

An instructor's guide available from the publishers' and the authors'

website provides downloadable copies of the graphics in the text.

Peter Moles is lecturer in finance, Edinburgh University.