Option valuation : a first course in financial mathematics /: a first course in financial mathematics. (©2012)

• Record Type: Book
• Further Information: Note: Hugo D. Junghenn.
• Other Names: Junghenn, Hugo D (Hugo Dietrich), 1939-
• Contents: Interest and Present Value; Compound Interest; Annuities; Bonds; Rate of Return Probability Spaces; Sample Spaces and Events; Discrete Probability Spaces; General Probability Spaces; Conditional Probability; Independence Random Variables; Definition and General Properties; Discrete Random Variables; Continuous Random Variables; Joint Distributions; Independent Random Variables; Sums of Independent Random Variables Options and Arbitrage; Arbitrage; Classification of Derivatives; Forwards; Currency Forwards; Futures; Options; Properties of Options; Dividend-Paying Stocks Discrete-Time Portfolio Processes; Discrete-Time Stochastic Processes; Self-Financing Portfolios; Option Valuation by Portfolios Expectation of a Random Variable; Discrete Case: Definition and Examples; Continuous Case: Definition and Examples; Properties of Expectation; Variance of a Random Variable; The Central Limit Theorem The Binomial Model; Construction of the Binomial Model; Pricing a Claim in the Binomial Model; The Cox-Ross-Rubinstein Formula Conditional Expectation and Discrete-Time Martingales ; Definition of Conditional Expectation; Examples of Conditional Expectation; Properties of Conditional Expectation; Discrete-Time Martingales The Binomial Model Revisited; Martingales in the Binomial Model; Change of Probability; American Claims in the Binomial Model; Stopping Times; Optimal Exercise of an American Claim; Dividends in the Binomial Model; The General Finite Market Model Stochastic Calculus; Differential Equations; Continuous-Time Stochastic Processes; Brownian Motion ; Variation of Brownian Paths; Riemann-Stieltjes Integrals; Stochastic Integrals; The Ito-Doeblin Formula; Stochastic Differential Equations The Black-Scholes-Merton Model; The Stock Price SDE; Continuous-Time Portfolios; The Black-Scholes-Merton PDE; Properties of the BSM Call Function Continuous-Time Martingales; Conditional Expectation; Martingales: Definition and Examples; Martingale Representation Theorem; Moment Generating Functions; Change of Probability and Girsanov’s Theorem The BSM Model Revisited; Risk-Neutral Valuation of a Derivative; Proofs of the Valuation Formulas; Valuation under P; The Feynman-Kac Representation Theorem Other Options; Currency Options; Forward Start Options; Chooser Options; Compound Options; Path-Dependent Derivatives; Quantos; Options on Dividend-Paying Stocks; American Claims in the BSM Model Appendix A: Sets and Counting; Appendix B: Solution of the BSM PDE; Appendix C: Analytical Properties of the BSM Call Function; Appendix D: Hints and Solutions to Odd-Numbered Problems Bibliography Index Exercises appear at the end of each chapter.
• Publisher Details: Boca Raton : CRC Press
• Publication Date: 2012
• Copyright Date: 2012
• Extent: 1 online resource (xiii, 252 pages)
• Subjects: 332.64530151; Options (Finance) -- Mathematics; Derivative securities -- Mathematics; Business mathematics; Electronic books
• Languages: English
• ISBNs: 9781439889121; 1439889120
• Notes: Note: Includes bibliographical references (pages 247-248) and index.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.