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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Roman, Steven (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2012.
Edición:2nd ed. 2012.
Colección:Undergraduate Texts in Mathematics,
Temas:
Social sciences-Mathematics.
Probabilities.
Finance.
Mathematics in Business, Economics and Finance.
Probability Theory.
Financial Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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