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Option Valuation : a First Course in Financial Mathematics

Author
Junghenn, Hugo D.
Published
Hoboken : CRC Press, 2011.
Physical Description
1 online resource (264 pages).
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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.
Summary
Interest and Present ValueCompound Interest Annuities Bonds Rate of ReturnProbability SpacesSample Spaces and Events Discrete Probability Spaces General Probability Spaces Conditional Probability IndependenceRandom VariablesDefinition and General Properties Discrete Random Variables Continuous Random Variables Joint Distributions Independent Random Variables Sums of Independent Random VariablesOptions and ArbitrageArbitrage Classification of Derivatives Forwards Currency Forwards FuturesOptions Properties of Options Dividend-Paying StocksDiscrete-Time Portfolio ProcessesDiscrete-Time Stochasti.
Subject(s)
ISBN
9781439889121
1439889120
9781439889114 (hardcover ; alk. paper)
1439889112 (hardcover ; alk. paper)
Note
D. Hints and Solutions to Odd-Numbered ProblemsBibliography.
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 37437370