An Introduction to Financial Mathematics

Option Valuation
2. Auflage 2023
ISBN: 978-1-032-47575-2
Verlag: Taylor & Francis

Buch, Englisch, 318 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 600 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

Designed for readers having a background in standard multivariable calculus, 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. New examples and exercises have been added in this second edition.

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Autoren/Hrsg.

Junghenn, Hugo D.

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

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

Über Autor(innen)

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.