An Introduction to Financial Mathematics

Option Valuation
2. Auflage 2019
ISBN: 978-0-367-20882-0
Verlag: CRC Press

Buch, Englisch, 316 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 626 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

The text is an introduction to the mathematics and models used in the valuation of financial derivatives. The first half of the book develops the 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 book treats the Black-Scholes model. Additional examples and new exercises are added. The general exposition, in particular proofs of theorems, is reworked. The main addition is a variety of data in the form of tables, charts, and graphs that illustrate properties of financial derivatives. These were generated by the 31 VBA Excel programs available on my web page.

Autoren/Hrsg.

Junghenn, Hugo D

Fachgebiete

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

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.