| Description |
1 online resource (180 pages). |
|
text file |
| Series |
Mastering Mathematical Finance
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Mastering mathematical finance.
|
| Summary |
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model. |
| Contents |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem -- simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing. |
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General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options. |
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Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Options (Finance) -- Prices -- Mathematical models.
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Options (Finance) -- Prices -- Mathematical models. |
| Genre/Form |
Electronic books.
|
|
Electronic books.
|
| Added Author |
Kopp, P. E., 1944-
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| Other Form: |
Print version: 9781107001695 |
| ISBN |
9781139570756 |
|
1139570757 |
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9781139026130 (electronic book) |
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1139026135 (electronic book) |
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9781139568944 (electronic book) |
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1139568949 (electronic book) |
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1139572504 (electronic book) |
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9781139572507 (electronic book) |
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6613950092 |
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9786613950093 |
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1283637634 |
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9781283637633 |
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9781107001695 (hardback) |
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1107001692 (hardback) |
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9780521173001 |
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0521173000 |
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