Hugo D. Junghenn

An Introduction to Financial Mathematics

Option Valuation

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• 2 ed
• Seitenzahl: 318
• Erscheinungstermin: 21. Januar 2023
• Englisch
• Abmessung: 234mm x 155mm x 25mm
• Gewicht: 488g
• ISBN-13: 9781032475752
• ISBN-10: 1032475757
• Artikelnr.: 68102440

Autorenporträt

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.

Inhaltsangabe

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