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junghenn hugo d. - an introduction to financial mathematics

An Introduction to Financial Mathematics Option Valuation




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Dettagli

Genere:Libro
Lingua: Inglese
Pubblicazione: 03/2019
Edizione: Edizione nuova, 2° edizione





Note Editore

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/.




Sommario

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 Markets10 American Claims in Discrete-Time Markets 11 Stochastic Calculus12The 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




Autore

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.










Altre Informazioni

ISBN:

9780367208820

Condizione: Nuovo
Collana: Chapman and Hall/CRC Financial Mathematics Series
Dimensioni: 9.25 x 6.25 in Ø 1.08 lb
Formato: Copertina rigida
Illustration Notes:38 b/w images and 8 tables
Pagine Arabe: 304
Pagine Romane: xii


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