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040 _aOCoLC-P
_beng
_erda
_epn
_cOCoLC-P
020 _a9780429263934
_q(electronic bk.)
020 _a0429263937
_q(electronic bk.)
020 _a9780429554490
_q(electronic bk. : PDF)
020 _a0429554494
_q(electronic bk. : PDF)
020 _a9780429558962
_q(electronic bk. : EPUB)
020 _a0429558961
_q(electronic bk. : EPUB)
020 _a9780429563430
_q(electronic bk. : Mobipocket)
020 _a0429563434
_q(electronic bk. : Mobipocket)
020 _z9780367208820
035 _a(OCoLC)1090130017
035 _a(OCoLC-P)1090130017
050 4 _aHG106
072 7 _aBUS
_x027000
_2bisacsh
072 7 _aMAT
_x000000
_2bisacsh
072 7 _aMAT
_x029000
_2bisacsh
072 7 _aKCHS
_2bicssc
082 0 4 _a332.64/530151
_223
100 1 _aJunghenn, Hugo D.
_q(Hugo Dietrich),
_d1939-
_eauthor.
245 1 3 _aAn introduction to financial mathematics :
_boption valuation /
_cHugo D. Junghenn.
250 _aSecond edition.
264 1 _aBoca Raton :
_bCRC Press,
_c[2019].
264 4 _c©2019
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aChapman & Hall/CRC financial mathematics series
500 _aEarlier edition: Introduction to financial mathematics / Kevin J. Hastings.
505 0 _aCover; Half Title; Title Page; Copyright Page; Dedication; Table of Contents; Preface; 1: Basic Finance; 1.1 Interest; *1.2 Inflation; 1.3 Annuities; 1.4 Bonds; *1.5 Internal Rate of Return; 1.6 Exercises; 2: Probability Spaces; 2.1 Sample Spaces and Events; 2.2 Discrete Probability Spaces; 2.3 General Probability Spaces; 2.4 Conditional Probability; 2.5 Independence; 2.6 Exercises; 3: Random Variables; 3.1 Introduction; 3.2 General Properties of Random Variables; 3.3 Discrete Random Variables; 3.4 Continuous Random Variables; 3.5 Joint Distributions of Random Variables
505 8 _a3.6 Independent Random Variables3.7 Identically Distributed Random Variables; 3.8 Sums of Independent Random Variables; 3.9 Exercises; 4: Options and Arbitrage; 4.1 The Price Process of an Asset; 4.2 Arbitrage; 4.3 Classification of Derivatives; 4.4 Forwards; 4.5 Currency Forwards; 4.6 Futures; *4.7 Equality of Forward and Future Prices; 4.8 Call and Put Options; 4.9 Properties of Options; 4.10 Dividend-Paying Stocks; 4.11 Exotic Options; *4.12 Portfolios and Payoff Diagrams; 4.13 Exercises; 5: Discrete-Time Portfolio Processes; 5.1 Discrete Time Stochastic Processes
505 8 _a5.2 Portfolio Processes and the Value Process5.3 Self-Financing Trading Strategies; 5.4 Equivalent Characterizations of Self-Financing; 5.5 Option Valuation by Portfolios; 5.6 Exercises; 6: Expectation; 6.1 Expectation of a Discrete Random Variable; 6.2 Expectation of a Continuous Random Variable; 6.3 Basic Properties of Expectation; 6.4 Variance of a Random Variable; 6.5 Moment Generating Functions; 6.6 The Strong Law of Large Numbers; 6.7 The Central Limit Theorem; 6.8 Exercises; 7: The Binomial Model; 7.1 Construction of the Binomial Model
505 8 _a7.2 Completeness and Arbitrage in the Binomial Model7.3 Path-Independent Claims; *7.4 Path-Dependent Claims; 7.5 Exercises; 8: Conditional Expectation; 8.1 Definition of Conditional Expectation; 8.2 Examples of Conditional Expectations; 8.3 Properties of Conditional Expectation; 8.4 Special Cases; *8.5 Existence of Conditional Expectation; 8.6 Exercises; 9: Martingales in Discrete Time Markets; 9.1 Discrete Time Martingales; 9.2 The Value Process as a Martingale; 9.3 A Martingale View of the Binomial Model; 9.4 The Fundamental Theorems of Asset Pricing; *9.5 Change of Probability
505 8 _a9.6 Exercises10: American Claims in Discrete-Time Markets; 10.1 Hedging an American Claim; 10.2 Stopping Times; 10.3 Submartingales and Supermartingales; 10.4 Optimal Exercise of an American Claim; 10.5 Hedging in the Binomial Model; 10.6 Optimal Exercise in the Binomial Model; 10.7 Exercises; 11: Stochastic Calculus; 11.1 Continuous-Time Stochastic Processes; 11.2 Brownian Motion; 11.3 Stochastic Integrals; 11.4 The Ito-Doeblin Formula; 11.5 Stochastic Differential Equations; 11.6 Exercises; 12: The Black-Scholes-Merton Model; 12.1 The Stock Price SDE; 12.2 Continuous-Time Portfolios
520 _aIntroduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of fteen chapters, the rst ten of which develop option valuation techniques in discrete time, the last ve describing the theory in continuous time. The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model. The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author's webpage https://home.gwu.edu/~hdj/.
588 _aOCLC-licensed vendor bibliographic record.
650 0 _aFinance
_xMathematical models.
650 0 _aBusiness mathematics.
650 0 _aOptions (Finance)
650 7 _aBUSINESS & ECONOMICS / Finance.
_2bisacsh
650 7 _aMATHEMATICS / General
_2bisacsh
650 7 _aMATHEMATICS / Probability & Statistics / General
_2bisacsh
700 1 _aHastings, Kevin J.,
_d1955-
_tIntroduction to financial mathematics.
856 4 0 _3Read Online
_uhttps://www.taylorfrancis.com/books/9780429263934
856 4 2 _3OCLC metadata license agreement
_uhttp://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf
942 _2lcc
_cEBK
999 _c16425
_d16425