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9780429263934 |
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| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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190319t20192019flu ob 001 0 eng d |
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OCoLC-P |
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eng |
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OCoLC-P |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780429263934 |
| Qualifying information |
(electronic bk.) |
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| International Standard Book Number |
0429263937 |
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(electronic bk.) |
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| International Standard Book Number |
9780429554490 |
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(electronic bk. : PDF) |
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| International Standard Book Number |
0429554494 |
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(electronic bk. : PDF) |
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| International Standard Book Number |
9780429558962 |
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(electronic bk. : EPUB) |
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| International Standard Book Number |
0429558961 |
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(electronic bk. : EPUB) |
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| International Standard Book Number |
9780429563430 |
| Qualifying information |
(electronic bk. : Mobipocket) |
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| International Standard Book Number |
0429563434 |
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(electronic bk. : Mobipocket) |
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9780367208820 |
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(OCoLC)1090130017 |
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(OCoLC-P)1090130017 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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HG106 |
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029000 |
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bicssc |
| 082 04 - |
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| Classification number |
332.64/530151 |
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23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Junghenn, Hugo D. |
| 245 13 - TITLE STATEMENT |
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| Title |
An introduction to financial mathematics : |
| Remainder of title |
option valuation / |
| Statement of responsibility, etc |
Hugo D. Junghenn. |
| 250 ## - EDITION STATEMENT |
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| Edition statement |
Second edition. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource. |
| 500 ## - GENERAL NOTE |
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| General note |
Earlier edition: Introduction to financial mathematics / Kevin J. Hastings. |
| 505 0# - |
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| Formatted contents note |
Cover; Half Title; Title Page; Copyright Page; Dedication; Table of Contents; Preface; 1: Basic Finance; 1.1 Interest; *1.2 Inflation; 1.3 Annuities; 1.4 Bonds; *1.5 Internal Rate of Return; 1.6 Exercises; 2: Probability Spaces; 2.1 Sample Spaces and Events; 2.2 Discrete Probability Spaces; 2.3 General Probability Spaces; 2.4 Conditional Probability; 2.5 Independence; 2.6 Exercises; 3: Random Variables; 3.1 Introduction; 3.2 General Properties of Random Variables; 3.3 Discrete Random Variables; 3.4 Continuous Random Variables; 3.5 Joint Distributions of Random Variables |
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| Formatted contents note |
3.6 Independent Random Variables3.7 Identically Distributed Random Variables; 3.8 Sums of Independent Random Variables; 3.9 Exercises; 4: Options and Arbitrage; 4.1 The Price Process of an Asset; 4.2 Arbitrage; 4.3 Classification of Derivatives; 4.4 Forwards; 4.5 Currency Forwards; 4.6 Futures; *4.7 Equality of Forward and Future Prices; 4.8 Call and Put Options; 4.9 Properties of Options; 4.10 Dividend-Paying Stocks; 4.11 Exotic Options; *4.12 Portfolios and Payoff Diagrams; 4.13 Exercises; 5: Discrete-Time Portfolio Processes; 5.1 Discrete Time Stochastic Processes |
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| Formatted contents note |
5.2 Portfolio Processes and the Value Process5.3 Self-Financing Trading Strategies; 5.4 Equivalent Characterizations of Self-Financing; 5.5 Option Valuation by Portfolios; 5.6 Exercises; 6: Expectation; 6.1 Expectation of a Discrete Random Variable; 6.2 Expectation of a Continuous Random Variable; 6.3 Basic Properties of Expectation; 6.4 Variance of a Random Variable; 6.5 Moment Generating Functions; 6.6 The Strong Law of Large Numbers; 6.7 The Central Limit Theorem; 6.8 Exercises; 7: The Binomial Model; 7.1 Construction of the Binomial Model |
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| Formatted contents note |
7.2 Completeness and Arbitrage in the Binomial Model7.3 Path-Independent Claims; *7.4 Path-Dependent Claims; 7.5 Exercises; 8: Conditional Expectation; 8.1 Definition of Conditional Expectation; 8.2 Examples of Conditional Expectations; 8.3 Properties of Conditional Expectation; 8.4 Special Cases; *8.5 Existence of Conditional Expectation; 8.6 Exercises; 9: Martingales in Discrete Time Markets; 9.1 Discrete Time Martingales; 9.2 The Value Process as a Martingale; 9.3 A Martingale View of the Binomial Model; 9.4 The Fundamental Theorems of Asset Pricing; *9.5 Change of Probability |
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| Formatted contents note |
9.6 Exercises10: American Claims in Discrete-Time Markets; 10.1 Hedging an American Claim; 10.2 Stopping Times; 10.3 Submartingales and Supermartingales; 10.4 Optimal Exercise of an American Claim; 10.5 Hedging in the Binomial Model; 10.6 Optimal Exercise in the Binomial Model; 10.7 Exercises; 11: Stochastic Calculus; 11.1 Continuous-Time Stochastic Processes; 11.2 Brownian Motion; 11.3 Stochastic Integrals; 11.4 The Ito-Doeblin Formula; 11.5 Stochastic Differential Equations; 11.6 Exercises; 12: The Black-Scholes-Merton Model; 12.1 The Stock Price SDE; 12.2 Continuous-Time Portfolios |
| 650 #0 - |
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| Topical term or geographic name as entry element |
Finance |
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| Topical term or geographic name as entry element |
Business mathematics. |
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| Topical term or geographic name as entry element |
Options (Finance) |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS / Finance. |
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| Topical term or geographic name as entry element |
MATHEMATICS / General |
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| Topical term or geographic name as entry element |
MATHEMATICS / Probability & Statistics / General |
| 700 1# - |
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| Personal name |
Hastings, Kevin J., |
| 856 40 - |
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| Uniform Resource Identifier |
https://www.taylorfrancis.com/books/9780429263934 |
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| Uniform Resource Identifier |
http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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(Hugo Dietrich), |
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1939- |
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author. |
| 264 #1 - |
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Boca Raton : |
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CRC Press, |
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[2019]. |
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©2019 |
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text |
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txt |
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rdacontent |
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computer |
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rdamedia |
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online resource |
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rdacarrier |
| 490 1# - |
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Chapman & Hall/CRC financial mathematics series |
| 520 ## - |
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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 fteen chapters, the rst ten of which develop option valuation techniques in discrete time, the last ve 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/. |
| 588 ## - |
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OCLC-licensed vendor bibliographic record. |
| 650 #0 - |
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Mathematical models. |
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bisacsh |
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bisacsh |
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bisacsh |
| 700 1# - |
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1955- |
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Introduction to financial mathematics. |
| 856 40 - |
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Taylor & Francis |
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OCLC metadata license agreement |
