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Option theory with stochastic analysis : an introduction to mathematical finance

Option theory with stochastic analysis : an introduction to mathematical finance (Loan 1 times)

Material type
단행본
Personal Author
Benth, Fred Espen, 1969-.
Title Statement
Option theory with stochastic analysis : an introduction to mathematical finance / Fred Espen Benth.
Publication, Distribution, etc
Berlin ;   New York :   Springer,   c2004.  
Physical Medium
x, 162 p. : ill. ; 24 cm.
Series Statement
Universitext
ISBN
354040502X (pbk : alk. paper)
Bibliography, Etc. Note
Includes bibliographical references (p. [157]-162) and index.
Subject Added Entry-Topical Term
Options (Finance) -- Mathematical models. Stochastic analysis.
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008 111024s2004 gw a b 001 0 eng d
010 ▼a 2003064278
020 ▼a 354040502X (pbk : alk. paper)
035 ▼a (KERIS)REF000009838695
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
041 1 ▼a eng ▼h nor
050 0 0 ▼a HG6024.A3 ▼b B46313 2004
082 0 0 ▼a 332.64/53/0151922 ▼2 22
084 ▼a 332.6453 ▼2 DDCK
090 ▼a 332.6453 ▼b B476mE
100 1 ▼a Benth, Fred Espen, ▼d 1969-.
240 1 0 ▼a Matematisk finans. ▼l English
245 1 0 ▼a Option theory with stochastic analysis : ▼b an introduction to mathematical finance / ▼c Fred Espen Benth.
260 ▼a Berlin ; ▼a New York : ▼b Springer, ▼c c2004.
300 ▼a x, 162 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Universitext
504 ▼a Includes bibliographical references (p. [157]-162) and index.
650 0 ▼a Options (Finance) ▼x Mathematical models.
650 0 ▼a Stochastic analysis.
830 0 ▼a Universitext.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6453 B476mE Accession No. 111645462 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

1 Introduction.- 1.1 An Introduction to Options in Finance.- 1.1.1 Empirical Finance.- 1.1.2 Stochastic Finance.- 1.1.3 Computational Finance.- 1.2 Some Useful Material from Probability Theory.- 2 Statistical Analysis of Data from the Stock Market.- 2.1 The Black & Scholes Model.- 2.2 Logarithmic Returns from Stocks.- 2.3 Scaling Towards Normality.- 2.4 Heavy-Tailed and Skewed Logreturns.- 2.5 Logreturns and the Normal Inverse Gaussian Distribution.- 2.6 An Alternative to the Black & Scholes Model.- 2.7 Logreturns and Autocorrelation.- 2.8 Conclusions Regarding the Choice of Stock Price Model.- 3 An Introduction to Stochastic Analysis.- 3.1 The Ito Integral.- 3.2 The Ito Formula.- 3.3 Geometric Brownian Motion as the Solution of a Stochastic Differential Equation.- 3.4 Conditional Expectation and Martingales.- 4 Pricing and Hedging of Contingent Claims.- 4.1 Motivation from One-Period Markets.- 4.2 The Black & Scholes Market and Arbitrage.- 4.3 Pricing and Hedging of Contingent Claims X= f(S(T)).- 4.3.1 Derivation of the Black & Scholes Partial Differential Equation.- 4.3.2 Solution of the Black & Scholes Partial Differential Equation.- 4.3.3 The Black & Scholes Formula for Call Options.- 4.3.4 Hedging of Call Options.- 4.3.5 Hedging of General Options.- 4.3.6 Implied Volatility.- 4.4 The Girsanov Theorem and Equivalent Martingale Measures.- 4.5 Pricing and Hedging of General Contingent Claims.- 4.5.1 An Example: a Chooser Option.- 4.6 The Markov Property and Pricing of General Contingent Claims.- 4.7 Contingent Claims on Many Underlying Stocks.- 4.8 Completeness, Arbitrage and Equivalent Martingale Measures.- 4.9 Extensions to Incomplete Markets.- 4.9.1 Energy Markets and Incompleteness.- 5 Numerical Pricing and Hedging of Contingent Claims.- 5.1 Pricing and Hedging with Monte Carlo Methods.- 5.1.1 Pricing and Hedging of Contingent Claims with Payoff of the Form f(ST).- 5.1.2 The Accuracy' of Monte Carlo Methods.- 5.1.3 Pricing of Contingent Claims on Many Underlying Stocks.- 5.1.4 Pricing of Path-Dependent Claims.- 5.2 Pricing and Hedging with the Finite Difference Method.- A Solutions to Selected Exercises.- References.


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