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Option valuation : a first course in financial mathematics

Option valuation : a first course in financial mathematics (35회 대출)

자료유형
단행본
개인저자
Junghenn, Hugo D. (Hugo Dietrich), 1939-.
서명 / 저자사항
Option valuation : a first course in financial mathematics / Hugo D. Junghenn.
발행사항
Boca Raton :   CRC Press,   c2012.  
형태사항
xiii, 252 p. ; 24 cm.
총서사항
Chapman & Hall/CRC financial mathematics series
ISBN
9781439889114 (hardcover : alk. paper)
서지주기
Includes bibliographical references (p. 247-248) and index.
일반주제명
Options (Finance) -- Mathematics. Derivative securities -- Mathematics. Business mathematics.
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008 130214s2012 flu b 001 0 eng
010 ▼a 2011044664
020 ▼a 9781439889114 (hardcover : alk. paper)
035 ▼a (KERIS)REF000016571442
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG6024.A3 ▼b J86 2012
082 0 0 ▼a 332.64/530151 ▼2 23
084 ▼a 332.6453 ▼2 DDCK
090 ▼a 332.6453 ▼b J95o
100 1 ▼a Junghenn, Hugo D. ▼q (Hugo Dietrich), ▼d 1939-.
245 1 0 ▼a Option valuation : ▼b a first course in financial mathematics / ▼c Hugo D. Junghenn.
260 ▼a Boca Raton : ▼b CRC Press, ▼c c2012.
300 ▼a xiii, 252 p. ; ▼c 24 cm.
490 1 ▼a Chapman & Hall/CRC financial mathematics series
504 ▼a Includes bibliographical references (p. 247-248) and index.
650 0 ▼a Options (Finance) ▼x Mathematics.
650 0 ▼a Derivative securities ▼x Mathematics.
650 0 ▼a Business mathematics.
830 0 ▼a Chapman & Hall/CRC financial mathematics series.
945 ▼a KLPA

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컨텐츠정보

목차

Interest and Present Value
Compound Interest
Annuities
Bonds
Rate of Return

Probability Spaces
Sample Spaces and Events
Discrete Probability Spaces
General Probability Spaces
Conditional Probability
Independence

Random Variables
Definition and General Properties
Discrete Random Variables
Continuous Random Variables
Joint Distributions
Independent Random Variables
Sums of Independent Random Variables

Options and Arbitrage
Arbitrage
Classification of Derivatives
Forwards
Currency Forwards
Futures
Options
Properties of Options
Dividend-Paying Stocks

Discrete-Time Portfolio Processes
Discrete-Time Stochastic Processes
Self-Financing Portfolios
Option Valuation by Portfolios

Expectation of a Random Variable
Discrete Case: Definition and Examples
Continuous Case: Definition and Examples
Properties of Expectation
Variance of a Random Variable
The Central Limit Theorem

The Binomial Model
Construction of the Binomial Model
Pricing a Claim in the Binomial Model
The Cox-Ross-Rubinstein Formula

Conditional Expectation and Discrete-Time Martingales
Definition of Conditional Expectation
Examples of Conditional Expectation
Properties of Conditional Expectation
Discrete-Time Martingales

The Binomial Model Revisited
Martingales in the Binomial Model
Change of Probability
American Claims in the Binomial Model
Stopping Times
Optimal Exercise of an American Claim
Dividends in the Binomial Model
The General Finite Market Model

Stochastic Calculus
Differential Equations
Continuous-Time Stochastic Processes
Brownian Motion
Variation of Brownian Paths
Riemann-Stieltjes Integrals
Stochastic Integrals
The Ito-Doeblin Formula
Stochastic Differential Equations

The Black-Scholes-Merton Model
The Stock Price SDE
Continuous-Time Portfolios
The Black-Scholes-Merton PDE
Properties of the BSM Call Function

Continuous-Time Martingales
Conditional Expectation
Martingales: Definition and Examples
Martingale Representation Theorem
Moment Generating Functions
Change of Probability and Girsanov’s Theorem

The BSM Model Revisited
Risk-Neutral Valuation of a Derivative
Proofs of the Valuation Formulas
Valuation under P
The Feynman-Kac Representation Theorem

Other Options
Currency Options
Forward Start Options
Chooser Options
Compound Options
Path-Dependent Derivatives
Quantos
Options on Dividend-Paying Stocks
American Claims in the BSM Model

Appendix A: Sets and Counting
Appendix B: Solution of the BSM PDE
Appendix C: Analytical Properties of the BSM Call Function
Appendix D: Hints and Solutions to Odd-Numbered Problems

Bibliography

Index

Exercises appear at the end of each chapter.


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