"This volume introduces simple mathematical models of financial markets, focussing on the problems of pricing and hedging risky financial instruments whose price evolution depends on the prices of other risky assets, such as stocks or commodities. Over the past four decades trading in these...

Cover -- The Black-Scholes Model -- Title -- Copyright -- Contents -- Preface -- 1 Introduction -- 1.1 Asset dynamics -- Model parameters -- 1.2 Methods of option pricing -- Risk-neutral probability approach -- The PDE approach -- 2 Strategies and risk-neutral probability -- 2.1 Finding the...

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course...

We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.