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Introduction to Financial Mathematics

Hugo D. Junghenn
€62.99
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advanced option pricing techniques
Arbitrage
asset pricing models
Author_Hugo D. Junghenn
Barrier Call Option
Binomial Model
Binomial Random Variables
Black Scholes Merton Model
Black-Scholes model
Black-Sholes Model
Brownian Martingale
Brownian Motion
Call Option
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Category=PBW
Conditional Expectation
continuous time
Discrete Random Variable
discrete-time option valuation
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Financial Derivatives
financial risk analysis
Forward Start Option
Girsanov's Theorem
Girsanov’s Theorem
Independent Bernoulli Random Variables
Ito Process
Lookback Options
mathematical finance methods
Option Valuation
Path Dependent Derivative
probability theory
quantitative finance
Random Variable
Risk Neutral Measure
Risk Neutral Pricing
Risk Neutral Probability Measure
Self-financing Portfolio
Self-financing Trading Strategy
Standard Call Option
stochastic calculus models
Stochastic Differential Equation
stochastic modeling
Strike Lookback
Strike Price

Product details

  • ISBN 9781032475752
  • Weight: 600g
  • Dimensions: 156 x 234mm
  • Publication Date: 21 Jan 2023
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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Description

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives.

The book consists of fifteen chapters, the first ten of which develop option valuation techniques in discrete time, the last five describing the theory in continuous time.

The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model.

The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author’s webpage https://home.gwu.edu/~hdj/.
About Hugo D. Junghenn

Hugo D. Junghenn is Professor of Mathematics at The George Washington University. He has published numerous journal articles and is the author of several books, including A Course in Real Analysis and Principles of Analysis: Measure, Integration, Functional Analysis, and Applications. His research interests include functional analysis, semigroups, and probability.

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