Elementary Calculus of Financial Mathematics SIAM published this book December 3, 2008

Modern financial mathematics relies on the theory of random processes in time, reflecting the erratic fluctuations in financial markets.This book introduces the fascinating area of financial mathematics and its calculus in an accessible manner geared toward undergraduate students. Using little high-level mathematics, the author presents the basic methods for evaluating financial options and building financial simulations.


  • p.7, Example~1.2, third dot point: upon expanding the square, the variance should have an extra "+2s".
  • p.11, line~7 of item~3: "quantity the immediately" should be "quantity we immediately"
  • p.17, footnote: find the article Stop the Subversive Spreadsheet! at http://www.eusprig.org/eusprig.pdf [Oct 2017].
  • p.51, line 7: "= =" should be simply "=".
  • p.76: line -3 and -6: "diffusion PDE \(\frac{\partial u}{\partial t}=\frac12\frac{\partial^2u}{\partial x^2}\)" should be "PDE \(\frac{\partial u}{\partial t}+\frac12\frac{\partial^2u}{\partial x^2}=0\)"
  • p.125: "Eifferential" should of course be "differential".

Extra exercises

An Addendum to the book provides a couple of extra exercises, and some extra material.

If you like this web page, please link to it so others can find it more easily.