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Hardcover | $110.00 X | £91.95 | 516 pp. | 7 x 9 in | 46 illus. | February 2004 | ISBN: 9780262033206
Paperback | Out of Print | 516 pp. | 7 x 9 in | 46 illus. | February 2004 | ISBN: 9780262532655
eBook | $110.00 X | February 2004 | ISBN: 9780262332859
Paperback not for sale in the US or Canada.
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Introduction to the Economics and Mathematics of Financial Markets


Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics.

The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

Instructor Resources for This Title:

Instructor's Manual

About the Authors

Jaksa Cvitanic is Professor of Mathematical Finance at the California Institute of Technology and Professor of Finance at EDHEC Business School.

Fernando Zapatero is Robert G. Kirby Chair in Behavioral Finance and Professor of Finance and Business Economics at the University of Southern California.


“This book provides a very clear and readable approach to the structure, background, and theory of modern financial markets. It can easily be used as a text for a graduate course in quantitative finance and as a reference by practitioners. Unlike more mathematical treatments, however, most of its content should also be accessible to good MBA students.”
Robert J. Elliott, RBC Financial Group Professor of Finance, University of Calgary
“This book is the first of its kind—an accessible but rigorous treatment of classic dynamic asset-pricing models, appropriate for master's-level or introductory doctoral courses, and suitable for students from various fields, including economics, finance, or applied mathematics. An excellent contribution.”
Darrell Duffie, Graduate School of Business, Stanford University