An Introduction to Financial Mathematics
Option Valuation
2nd Edition
Published on 14. March 2019
316 pages
978-0-429-55449-0 (ISBN)
Description
Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives.
The book consists of ?fteen chapters, the ?rst ten of which develop option valuation techniques in discrete time, the last ?ve describing the theory in continuous time.
The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model.
The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author's webpage https://home.gwu.edu/~hdj/.
The book consists of ?fteen chapters, the ?rst ten of which develop option valuation techniques in discrete time, the last ?ve describing the theory in continuous time.
The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model.
The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author's webpage https://home.gwu.edu/~hdj/.
More details
Series
Edition
2nd edition
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
Illustrations
8 Tables, black and white; 38 Illustrations, black and white
File size
6,27 MB
ISBN-13
978-0-429-55449-0 (9780429554490)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
01/2023
2nd Edition
Chapman & Hall/CRC
€78.17
Shipment within 10-20 days
Book
03/2019
2nd Edition
Chapman & Hall/CRC
€171.50
Shipment within 15-20 days
Person
Hugo D. Junghenn is Professor of Mathematics at The George Washington University. He has published numerous journal articles and is the author of several books, including A Course in Real Analysis and Principles of Analysis: Measure, Integration, Functional Analysis, and Applications. His research interests include functional analysis, semigroups, and probability.
Content
1 Basic Finance
2 Probability Spaces
3 Random Variables
4 Options and Arbitrage
5 Discrete-Time Portfolio Processes
6 Expectation
7 The Binomial Model
8 Conditional Expectation
9 Martingales in Discrete Time Markets
10 American Claims in Discrete-Time Markets
11 Stochastic Calculus
12 The Black-Scholes-Merton Model
13 Martingales in the Black-Scholes-Merton Model
14 Path Independent Options
15 Path Dependent Options
A Basic Combinatorics
B Solution of the BSM PDE
C Properties of the BSM Call Function
D Solutions to Odd-Numbered Problems
2 Probability Spaces
3 Random Variables
4 Options and Arbitrage
5 Discrete-Time Portfolio Processes
6 Expectation
7 The Binomial Model
8 Conditional Expectation
9 Martingales in Discrete Time Markets
10 American Claims in Discrete-Time Markets
11 Stochastic Calculus
12 The Black-Scholes-Merton Model
13 Martingales in the Black-Scholes-Merton Model
14 Path Independent Options
15 Path Dependent Options
A Basic Combinatorics
B Solution of the BSM PDE
C Properties of the BSM Call Function
D Solutions to Odd-Numbered Problems
