Option Theory with Stochastic Analysis

An Introduction to Mathematical Finance

Fred E. Benth - Collection Universitext

165 pages, parution le 17/12/2003

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Résumé

The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. In contrast to many books addressed to an audience with greater mathematical experience, it can appeal not only to students entering the discipline, but also to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail.

Written for:
Undergraduate students in finance

Introduction
Statistical Analysis of Data from the Stock Market
An Introduction to Stochastic Analysis
Pricing and Hedging of Contingent Claims
Numerical Pricing and Hedging of Contingent Claims
Appendix, Solutions to Selected Exercises

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Fred E. Benth
Collection	Universitext
Parution	17/12/2003
Nb. de pages	165
Format	15,5 x 23,5
Couverture	Relié
Poids	280g
Intérieur	Noir et Blanc
EAN13	9783540405023