Option valuation : a first course in financial mathematics / by Hugo D. Junghenn.

Format:

Book

Author/Creator:

Junghenn, Hugo D. (Hugo Dietrich), 1939- eauthor.

Series:

Chapman & Hall/CRC financial mathematics series.

Chapman and Hall/CRC Financial Mathematics Series

Language:

English

Subjects (All):

Options (Finance)--Mathematics.

Options (Finance).

Derivative securities--Mathematics.

Derivative securities.

Business mathematics.

Physical Description:

1 online resource (264 p.)

Edition:

1st edition

Place of Publication:

Boca Raton, FL : Chapman and Hall/CRC, an imprint of Taylor and Francis, 2011.

Language Note:

English

System Details:

text file

Summary:

Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background as needed, the text presents an introduction to probability theory and stochastic calculus suitable for undergraduate students in mathematics, economics, and finance.

Contents:

Front Cover; Contents; Preface; 1. Interest and Present Value; 2. Probability Spaces; 3. Random Variables; 4. Options and Arbitrage; 5. Discrete-Time Portfolio Processes; 6. Expectation of a Random Variable; 7. The Binomial Model; 8. Conditional Expectation and Discrete-Time Martingales; 9. The Binomial Model Revisited; 10. Stochastic Calculus; 11. The Black-Scholes-Merton Model; 12. Continuous-Time Martingales; 13. The BSM Model Revisited; 14. Other Options; A. Sets and Counting; B. Solution of the BSM PDE; C. Analytical Properties of the BSM Call Function

D. Hints and Solutions to Odd-Numbered ProblemsBibliography

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

0-429-08623-7

1-4398-8912-0

9780429086236

OCLC:

908079244