Option theory with stochastic analysis: an introduction to mathematical finance
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English Norwegian |
| Published: |
Berlin ; Heidelberg ; New York
Springer
2004
|
| Series: | Universitext
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 157 - 159 |
| Physical Description: | X, 162 Seiten Diagramme |
| ISBN: | 354040502X 9783540405023 |
Staff View
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| 245 | 1 | 0 | |a Option theory with stochastic analysis |b an introduction to mathematical finance |c Fred Espen Benth |
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| 650 | 4 | |a Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie | |
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Record in the Search Index
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| adam_text |
FRED ESPEN BENTH OPTION THEORY WITH STOCHASTIC ANALYSIS AN INTRODUCTION
TO MATHEMATICAL FINANCE SPRINGER TABLE OF CONTENTS 1 INTRODUCTION 1 1.1
AN INTRODUCTION TO OPTIONS IN FINANCE 1 1.1.1 EMPIRICAL FINANCE 5 1.1.2
STOCHASTIC FINANCE 6 1.1.3 COMPUTATIONAL FINANCE 6 1.2 SOME USEFUL
MATERIAL FROM PROBABILITY THEORY 6 2 STATISTICAL ANALYSIS OF DATA FROM
THE STOCK MARKET 11 2.1 THE BLACK & SCHOLES MODEL 12 2.2 LOGARITHMIC
RETURNS FROM STOCKS 15 2.3 SCALING TOWARDS NORMALITY 19 2.4 HEAVY-TAILED
AND SKEWED LOGRETURNS 20 2.5 LOGRETURNS AND THE NORMAL INVERSE GAUSSIAN
DISTRIBUTION . 23 2.6 AN ALTERNATIVE TO THE BLACK K SCHOLES MODEL 28
2.7 LOGRETURNS AND AUTOCORRELATION 28 2.8 CONCLUSIONS REGARDING THE
CHOICE OF STOCK PRICE MODEL 31 3 AN INTRODUCTION TO STOCHASTIC ANALYSIS
33 3.1 THE ITO INTEGRAL 33 3.2 THE ITO FORMULA 38 3.3 GEOMETRIC BROWNIAN
MOTION AS THE SOLUTION OF A STOCHASTIC DIFFERENTIAL EQUATION 44 3.4
CONDITIONAL EXPECTATION AND MARTINGALES 46 4 PRICING AND HEDGING OF
CONTINGENT CLAIMS 53 4.1 MOTIVATION FROM ONE-PERIOD MARKETS 54 4.2 THE
BLACK & SCHOLES MARKET AND ARBITRAGE 58 4.3 PRICING AND HEDGING OF
CONTINGENT CLAIMS X = F(S(T)) 60 4.3.1 DERIVATION OF THE BLACK & SCHOLES
PARTIAL DIFFERENTIAL EQUATION 60 4.3.2 SOLUTION OF THE BLACK & SCHOLES
PARTIAL DIFFERENTIAL EQUATION 63 4.3.3 THE BLACK & SCHOLES FORMULA FOR
CALL OPTIONS 65 4.3.4 HEDGING OF CALL OPTIONS 67 4.3.5 HEDGING OF
GENERAL OPTIONS 70 X TABLE OF CONTENTS 4.3.6 IMPLIED VOLATILITY 72 4.4
THE GIRSANOV THEOREM AND EQUIVALENT MARTINGALE MEASURES . 73 4.5 PRICING
AND HEDGING OF GENERAL CONTINGENT CLAIMS 77 4.5.1 AN EXAMPLE: A CHOOSER
OPTION 79 4.6 THE MARKOV PROPERTY AND PRICING OF GENERAL CONTINGENT
CLAIMS 81 4.7 CONTINGENT CLAIMS ON MANY UNDERLYING STOCKS 83 4.8
COMPLETENESS, ARBITRAGE AND EQUIVALENT MARTINGALE MEASURES 86 4.9
EXTENSIONS TO INCOMPLETE MARKETS 88 4.9.1 ENERGY MARKETS AND
INCOMPLETENESS 91 5 NUMERICAL PRICING AND HEDGING OF CONTINGENT CLAIMS
. 99 5.1 PRICING AND HEDGING WITH MONTE CARLO METHODS 99 5.1.1
PRICING AND HEDGING OF CONTINGENT CLAIMS WITH PAYOFF OF THE FORM F(S T )
100 5.1.2 THE ACCURACY OF MONTE CARLO METHODS 104 5.1.3 PRICING OF
CONTINGENT CLAIMS ON MANY UNDERLYING STOCKS 105 5.1.4 PRICING OF
PATH-DEPENDENT CLAIMS 107 5.2 PRICING AND HEDGING WITH THE FINITE
DIFFERENCE METHOD 112 A SOLUTIONS TO SELECTED EXERCISES 12 1 REFERENCES
157 INDEX 161 |
| any_adam_object | 1 |
| author | Benth, Fred Espen |
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| bvnumber | BV017491902 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
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| dewey-full | 332.64530151922 |
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV017491902 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-20T06:59:37Z |
| institution | BVB |
| isbn | 354040502X 9783540405023 |
| language | English Norwegian |
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| spelling | Benth, Fred Espen (DE-588)171901983 aut Matematisk finans Option theory with stochastic analysis an introduction to mathematical finance Fred Espen Benth Berlin ; Heidelberg ; New York Springer 2004 X, 162 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Universitext Literaturverz. S. 157 - 159 Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s Stochastische Analysis (DE-588)4132272-1 s DE-604 Erscheint auch als Online-Ausgabe 978-3-642-18786-5 HEBIS Datenaustausch Darmstadt application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010537693&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Benth, Fred Espen Option theory with stochastic analysis an introduction to mathematical finance Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4132272-1 (DE-588)4135346-8 |
| title | Option theory with stochastic analysis an introduction to mathematical finance |
| title_alt | Matematisk finans |
| title_auth | Option theory with stochastic analysis an introduction to mathematical finance |
| title_exact_search | Option theory with stochastic analysis an introduction to mathematical finance |
| title_full | Option theory with stochastic analysis an introduction to mathematical finance Fred Espen Benth |
| title_fullStr | Option theory with stochastic analysis an introduction to mathematical finance Fred Espen Benth |
| title_full_unstemmed | Option theory with stochastic analysis an introduction to mathematical finance Fred Espen Benth |
| title_short | Option theory with stochastic analysis |
| title_sort | option theory with stochastic analysis an introduction to mathematical finance |
| title_sub | an introduction to mathematical finance |
| topic | Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) Mathematical models Stochastic analysis Stochastische Analysis Optionspreistheorie |
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