Amber Habib's Math Pages

Calculus of Finance
Universities Press, Hyderabad
2011

The Calculus of Finance is an undergraduate text, based on material developed for the Mathematical Science Foundation's Programme in Mathematical Finance. It has grown out of an attempt to explain mathematical finance at the level of undergraduates in their second or third year of study. We assume the reader is comfortable with mathematical logic and calculations, and we use them freely, but we restrict ourselves to material that can be developed with basic calculus and probability.

The other concern driving the exposition in the book is the need to understand how real life guides the mathematical developments, and puts up tests that the theory must pass.

Any feedback, error location, or advice will be gratefully received: Just email me or sign the guestbook below.
Corrections and Further Explanations
  • P 88, Footnote 9 - "Open Office Cale" should be "Open Office Calc"
  • P 97, Fig 4.1 - The X arrow should point from Holder to Writer and the Asset arrow from Writer to Holder
  • P 172 - Sec 7.9 - The equation for γV has a superfluous "|ds" factor in front of the integral. (This is a mistyped \ds in the LaTeX code that produced the formula).
  • P 220 - After Exercise B.5.2 "Exercise B.3.2 shows... normal variables stay variable" should have the last word corrected from "variable" to "normal"
  • P 266 - Exercise 4.4.4 - The final value for I0 should be negative: - Rs 885.14
 Mathematica 4.0 Notebooks

If you do not have access to Mathematica, you can open these notebooks in the free Mathematica Player. The Player will let you see the calculations and graphs already present in the notebooks, but will not enable editing them further.

  1. Simulating Geometric Brownian Motion
  2. Exploring the Black-Scholes Formula
  3. Implied Volatility and the Volatility Smile
  4. Value at Risk and Monte Carlo Simulation
 Excel 2007 Spreadsheets
  1. Clean and Dirty Price of a Bond
  2. Monthly Values of DJIA index 1928-2008
  3. A Three-Asset Example of feasible set and efficient frontiers
  4. Market Beta calculations and Security Market Line with CNX500 Index
Amber Habib

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