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...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | Livre numérique |
| اللغة: | Anglais |
| منشور في: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| الطبعة: | 2nd ed. 2012. |
| سلاسل: | Undergraduate Texts in Mathematics
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| ملاحظة: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| 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 |
جدول المحتويات:
- 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
- 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