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

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
- Option pricing
Compare
- Mathematical economics
- Extreme value theory

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