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 derivativess of the stock.

Table of contents

1 Financial mathematics articles 2 Related articles 3 External links

Financial mathematics articles

• Underlying financial concepts
  • Arbitrage
  • Liquidity
  • Hedging
  • Time value of money
    • Present value
    • Future value
    • Discounted cash flow
    • Net present value
    • Internal rate of return
  • Financial Markets
  • Commodities
    • Commodity markets
  • Securities
    • Capital markets
      • Stock
      • Bond
  • Derivative securities
    • Underlying instrument
    • Derivatives market

• Mathematical tools
  • Probability
  • Expected value
  • Value at risk
  • Risk-neutral measure
  • Stochastic calculus
  • Brownian motion
  • Ito's Lemma
  • Girsanov's theorem
  • Radon-Nikodym derivative
  • Monte Carlo method
  • Partial differential equations

• Derivative securities
  • Forward contract
  • Futures contract
  • Options
    • Stock option
    • Warrants
    • Foreign exchange option
    • Interest rate options
    • Bond options
    • Options on futures
  • Swaps
    • Stock swap
    • Interest rate swap
  • Swaption
  • Interest rate linked derivatives:
    • Financial future
    • LIBOR
    • BBA LIBOR
    • Forward rate agreement
    • Interest rate swap
    • Interest rate cap
    • Exotic interest rate option
  • Credit derivatives
    • Credit default swap
    • Credit default option
    • Total return swap

• Options in detail
  • Puts and Calls
    • Call option
    • Put option
    • Strike price
  • Option pricing
    • Arbitrage relationships for options
    • Put-call parity
    • The Greeks
    • Black-Scholes formula
    • Black model
    • Binomial options model
    • Implied volatility
    • Option time value
    • Moneyness

• Compare
  • Mathematical economics
  • Extreme value theory

Related articles

• List of marketing topics
• List of management topics
• List of economics topics, List of economists
• List of accounting topics
• List of finance topics

External links

• Financial Mathematics Bookshelf
• Quantnotes - introductory articles covering mathematical finance
• Riskglossary - an online glossary, encyclopedia, and resource locator
• Option Tutor - a visual presentation of modern option pricing theory