An Introduction to Financial Mathematics: Option Valuation

ISBN-13: 9780367208820 / Angielski / Twarda / 2019 / 304 str.

Hugo D. Junghenn

Opis

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.

Spis treści

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

O autorze

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.