An undergraduate introduction to financial mathematics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore [u.a.]
World Scientific
2008
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | XVI, 355 S. graph. Darst. |
| ISBN: | 9789812835352 9812835350 |
Staff View
MARC
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Record in the Search Index
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| adam_text | AN UNDERGRADUATE INTRODUCTION TO FINANCIAL MATHEMATICS SECOND EDITION J
ROBERT BUCHANAN MILLERSVILLE UNIVERSITY, USA WORLD SCIENTIFIC NEW JERSEY
* LONDON * SINGAPORE * BEIJING * SHANGHAI * HONG KONG * TAIPEI * CHENNAI
CONTENTS , PREFACE VII PREFACE TO THE FIRST EDITION IX 1. THE THEORY OF
INTEREST 1 1.1 SIMPLE INTEREST 1 1.2 COMPOUND INTEREST 3 1.3
CONTINUOUSLY COMPOUNDED INTEREST 4 1.4 PRESENT VALUE 6 1.5 RATE OF
RETURN 12 1.6 EXERCISES 13 2. DISCRETE PROBABILITY 17 2.1 EVENTS AND
PROBABILITIES 18 2.2 ADDITION RULE 19 2.3 CONDITIONAL PROBABILITY AND
MULTIPLICATION RULE . . . . 20 2.4 RANDOM VARIABLES AND PROBABILITY
DISTRIBUTIONS . . . . 23 2.5 BINOMIAL RANDOM VARIABLES 25 2.6 EXPECTED
VALUE 26 2.7 VARIANCE AND STANDARD DEVIATION 32 2.8 EXERCISES 36 3.
NORMAL RANDOM VARIABLES AND PROBABILITY 39 3.1 CONTINUOUS RANDOM
VARIABLES 39 3.2 EXPECTED VALUE OF CONTINUOUS RANDOM VARIABLES . . . .
42 3.3 VARIANCE AND STANDARD DEVIATION 45 XIV AN UNDERGRADUATE
INTRODUCTION TO FINANCIAL MATHEMATICS 3.4 NORMAL RANDOM VARIABLES 46 3.5
CENTRAL LIMIT THEOREM 54 3.6 LOGNORMAL RANDOM VARIABLES 57 3.7
PROPERTIES OF EXPECTED VALUE 61 3.8 PROPERTIES OF VARIANCE 64 3.9
EXERCISES 66 4. THE ARBITRAGE THEOREM 71 4.1 THE CONCEPT OF ARBITRAGE 71
4.2 DUALITY THEOREM OF LINEAR PROGRAMMING 73 4.2.1 DUAL PROBLEMS 78 4.3
THE FUNDAMENTAL THEOREM OF FINANCE 86 4.4 EXERCISES 88 5. RANDOM WALKS
AND BROWNIAN MOTION 91 5.1 INTUITIVE IDEA OF A RANDOM WALK 91 5.2 FIRST
STEP ANALYSIS 92 5.3 INTUITIVE IDEA OF A STOCHASTIC PROCESS 105 5.4 ITO
PROCESSES 115 5.5 ITO S LEMMA 116 5.6 STOCK MARKET EXAMPLE 118 5.7
EXERCISES 121 6. FORWARDS AND FUTURES 123 6.1 DEFINITION OF A FORWARD
CONTRACT 123 6.2 PRICING A FORWARD CONTRACT 125 6.3 DIVIDENDS AND
PRICING 130 6.4 INCORPORATING TRANSACTION COSTS 131 6.5 FUTURES 133 6.6
EXERCISES 136 7. OPTIONS 139 7.1 PROPERTIES OF OPTIONS 140 7.2 PRICING
AN OPTION USING A BINARY MODEL 143 7.3 BLACK-SCHOLES PARTIAL
DIFFERENTIAL EQUATION 146 7.4 BOUNDARY AND INITIAL CONDITIONS 148 7.5
EXERCISES 150 CONTENTS XV 8. SOLUTION OF THE BLACK-SCHOLES EQUATION 153
8.1 FOURIER TRANSFORMS 153 8.2 INVERSE FOURIER TRANSFORMS 156 8.3
CHANGING VARIABLES IN THE BLACK-SCHOLES PDE 158 8.4 SOLVING THE
BLACK-SCHOLES EQUATION 161 8.5 BINOMIAL MODEL (OPTIONAL) 165 8.6
EXERCISES 177 9. DERIVATIVES OF BLACK-SCHOLES OPTION PRICES 181 9.1
THETA 181 9.2 DELTA 183 9.3 GAMMA 185 9.4 VEGA 186 9.5 RHO 188 9.6
RELATIONSHIPS BETWEEN A, 0, AND F 189 9.7 EXERCISES 191 10. HEDGING 193
10.1 GENERAL PRINCIPLES 193 10.2 DELTA HEDGING 196 10.3 DELTA NEUTRAL
PORTFOLIOS 201 10.4 GAMMA NEUTRAL PORTFOLIOS 202 10.5 EXERCISES 204 11.
OPTIMIZING PORTFOLIOS 207 11.1 COVARIANCE AND CORRELATION 207 11.2
OPTIMAL PORTFOLIOS 215 11.3 UTILITY FUNCTIONS 218 11.4 EXPECTED UTILITY
224 11.5 PORTFOLIO SELECTION 226 11.6 MINIMUM VARIANCE ANALYSIS 230 11.7
MEAN-VARIANCE ANALYSIS 241 11.8 EXERCISES 246 12. AMERICAN OPTIONS 251
12.1 PARITY AND AMERICAN OPTIONS 251 12.2 AMERICAN PUTS VALUED BY A
BINOMIAL MODEL 255 12.3 PROPERTIES OF THE BINOMIAL PRICING FORMULA 261
XVI AN UNDERGRADUATE INTRODUCTION TO FINANCIAL MATHEMATICS 12.4 OPTIMAL
EXERCISE TIME 266 12.5 EXERCISES 269 APPENDIX A SAMPLE STOCK MARKET DATA
273 APPENDIX B SOLUTIONS TO CHAPTER EXERCISES 277 B.I THE THEORY OF
INTEREST 277 B.2 DISCRETE PROBABILITY 280 B.3 NORMAL RANDOM VARIABLES
AND PROBABILITY 286 B.4 THE ARBITRAGE THEOREM 298 B.5 RANDOM WALKS AND
BROWNIAN MOTION 305 B.6 FORWARDS AND FUTURES , 311 B.7 OPTIONS 313 B.8
SOLUTION OF THE BLACK-SCHOLES EQUATION 316 B.9 DERIVATIVES OF
BLACK-SCHOLES OPTION PRICES 324 B.10 HEDGING 327 B.LL OPTIMIZING
PORTFOLIOS 332 B.12 AMERICAN OPTIONS 343 BIBLIOGRAPHY 347 INDEX 351
|
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| dewey-sort | 3330.01 3513 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| indexdate | 2024-07-09T21:37:11Z |
| institution | BVB |
| isbn | 9789812835352 9812835350 |
| language | English |
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| physical | XVI, 355 S. graph. Darst. |
| publishDate | 2008 |
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| publisher | World Scientific |
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| spelling | Buchanan, J. Robert Verfasser (DE-588)102711332X aut An undergraduate introduction to financial mathematics J. Robert Buchanan 2. ed. Singapore [u.a.] World Scientific 2008 XVI, 355 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Finanzmathematik stw Business mathematics Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017446746&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Buchanan, J. Robert An undergraduate introduction to financial mathematics Finanzmathematik stw Business mathematics Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4123623-3 |
| title | An undergraduate introduction to financial mathematics |
| title_auth | An undergraduate introduction to financial mathematics |
| title_exact_search | An undergraduate introduction to financial mathematics |
| title_full | An undergraduate introduction to financial mathematics J. Robert Buchanan |
| title_fullStr | An undergraduate introduction to financial mathematics J. Robert Buchanan |
| title_full_unstemmed | An undergraduate introduction to financial mathematics J. Robert Buchanan |
| title_short | An undergraduate introduction to financial mathematics |
| title_sort | an undergraduate introduction to financial mathematics |
| topic | Finanzmathematik stw Business mathematics Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finanzmathematik Business mathematics Lehrbuch |
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