Introduction to the mathematics of finance : arbitrage and option pricing
The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathem...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Livre numérique |
| Sprache: | Anglais |
| Veröffentlicht: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Ausgabe: | 2nd ed. 2012. |
| Schriftenreihe: | Undergraduate Texts in Mathematics
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| Schlagworte: | |
| Online Zugang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Introduction to the mathematics of finance, arbitrage and option pricing, Steven Roman, 2nd edition, 2012, New York, Springer, 1 vol. (XVI-287 p.), Undergraduate texts in mathematics, 978-1-461-43581-5 |
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| 100 | 1 | |a Roman, Steven M., |d 19..-...., |c mathématicien. | |
| 245 | 1 | 0 | |a Introduction to the mathematics of finance : |b arbitrage and option pricing |c by Steven Roman. |
| 250 | |a 2nd ed. 2012. | ||
| 260 | |a New York, NY : |b Springer New York. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Undergraduate Texts in Mathematics |x 2197-5604 | |
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| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a Preface Notation Key and Greek Alphabet 0 Introduction Part 1 Options and Arbitrage 1 Background on Options 2 An Aperitif on Arbitrage Part 2 Discrete-Time Pricing Models 3 Discrete Probability 4 Stochastic Processes, Filtrations and Martingales 5 Discrete-Time Pricing Models 6 The Binomial Model 7 Pricing Nonattainable Alternatives in an Incomplete Market 8 Optimal Stopping and American Options Part 3 the Black-Scholes Option Pricing Formula 9 Continuous Probability 10 The Black-Scholes Option Pricing Formula Appendix A: Convexity and the Separation Theorem Appendix B: Closed, Convex Cones Selected Solutions References Index | |
| 505 | 0 | |a Preface -- Notation Key and Greek Alphabet -- 0 Introduction -- Part 1 Options and Arbitrage -- 1 Background on Options -- 2 An Aperitif on Arbitrage -- Part 2 Discrete-Time Pricing Models -- 3 Discrete Probability -- 4 Stochastic Processes, Filtrations and Martingales -- 5 Discrete-Time Pricing Models -- 6 The Binomial Model -- 7 Pricing Nonattainable Alternatives in an Incomplete Market -- 8 Optimal Stopping and American Options -- Part 3 the Black-Scholes Option Pricing Formula -- 9 Continuous Probability -- 10 The Black-Scholes Option Pricing Formula -- Appendix A: Convexity and the Separation Theorem -- Appendix B: Closed, Convex Cones -- Selected Solutions -- References -- Index | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. This book concentrates on discrete derivative pricing models, culminating in a careful and complete derivation of the Black-Scholes option pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model.This second edition is a complete rewrite of the first edition with significant changes to the topic organization, thus making the book flow much more smoothly. Several topics have been expanded such as the discussions of options, including the history of options, and pricing nonattainable alternatives. In this edition the material on probability has been condensed into fewer chapters, and the material on the capital asset pricing model has been removed.The mathematics is not watered down, but it is appropriate for the intended audience. Previous knowledge of measure theory is not needed and only a small amount of linear algebra is required. All necessary probability theory is developed throughout the book on a "need-to-know" basis. No background in finance is required, since the book contains a chapter on options | ||
| 650 | |a Options (finances) | ||
| 650 | |a Gestion de portefeuille |x Modèles mathématiques | ||
| 650 | |a Investissements |x Modèles mathématiques | ||
| 650 | |a Modèle de fixation du prix des actifs | ||
| 776 | 0 | |0 165611499 |t Introduction to the mathematics of finance |o arbitrage and option pricing |f Steven Roman |e 2nd edition |d 2012 |c New York |n Springer |p 1 vol. (XVI-287 p.) |s Undergraduate texts in mathematics |z 978-1-461-43581-5 | |
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