Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2004
|
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. Finally, incomplete markets are also discussed, with references to different practical/theoretical approaches to pricing problems in such markets. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. In contrast to many books addressed to an audience with greater mathematical experience, it can appeal to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail. It dispenses with introductory chapters summarising the theory of stochastic analysis and processes, leading the reader instead through the stochastic calculus needed to perform the basic derivations and understand the basic tools It focuses on ideas and methods rather than full rigour, while remaining mathematically correct. The text aims at describing the basic assumptions (empirical finance) behind option theory, something that is very useful for those wanting actually to apply this. Further, it includes a big section on pricing using both the pde-approach and the martingale approach (stochastic finance). Finally, the reader is presented the two main approaches for numerical computation of option prices (computational finance). In this chapter, Visual Basic code is supplied for all methods, in the form of an add-in for Excel. The book can be used at an introductory level in Universities. Exercises (with solutions) are added after each chapter |
| Beschreibung: | 1 Online-Ressource (X, 162p. 21 illus) |
| ISBN: | 9783642187865 |
| ISSN: | 0172-5939 |
| DOI: | 10.1007/978-3-642-18786-5 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV042422479 | ||
| 003 | DE-604 | ||
| 005 | 20211115 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 150317s2004 |||| o||u| ||||||eng d | ||
| 020 | |a 9783642187865 |c Online |9 978-3-642-18786-5 | ||
| 024 | 7 | |a 10.1007/978-3-642-18786-5 |2 doi | |
| 035 | |a (OCoLC)1184400243 | ||
| 035 | |a (DE-599)BVBBV042422479 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-384 |a DE-703 |a DE-91 |a DE-634 | ||
| 082 | 0 | |a 519 |2 23 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a SK 820 |0 (DE-625)143258: |2 rvk | ||
| 084 | |a MAT 000 |2 stub | ||
| 084 | |a 60H30 |2 msc | ||
| 084 | |a 60G35 |2 msc | ||
| 084 | |a 91B28 |2 msc | ||
| 100 | 1 | |a Benth, Fred Espen |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Option Theory with Stochastic Analysis |b An Introduction to Mathematical Finance |c by Fred Espen Benth |
| 264 | 1 | |a Berlin, Heidelberg |b Springer Berlin Heidelberg |c 2004 | |
| 300 | |a 1 Online-Ressource (X, 162p. 21 illus) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Universitext |x 0172-5939 | |
| 500 | |a The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. Finally, incomplete markets are also discussed, with references to different practical/theoretical approaches to pricing problems in such markets. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. | ||
| 500 | |a In contrast to many books addressed to an audience with greater mathematical experience, it can appeal to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail. It dispenses with introductory chapters summarising the theory of stochastic analysis and processes, leading the reader instead through the stochastic calculus needed to perform the basic derivations and understand the basic tools It focuses on ideas and methods rather than full rigour, while remaining mathematically correct. The text aims at describing the basic assumptions (empirical finance) behind option theory, something that is very useful for those wanting actually to apply this. Further, it includes a big section on pricing using both the pde-approach and the martingale approach (stochastic finance). Finally, the reader is presented the two main approaches for numerical computation of option prices (computational finance). | ||
| 500 | |a In this chapter, Visual Basic code is supplied for all methods, in the form of an add-in for Excel. The book can be used at an introductory level in Universities. Exercises (with solutions) are added after each chapter | ||
| 650 | 4 | |a Mathematics | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Distribution (Probability theory) | |
| 650 | 4 | |a Economics / Statistics | |
| 650 | 4 | |a Quantitative Finance | |
| 650 | 4 | |a Probability Theory and Stochastic Processes | |
| 650 | 4 | |a Statistics for Business/Economics/Mathematical Finance/Insurance | |
| 650 | 4 | |a Mathematik | |
| 650 | 4 | |a Statistik | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 0 | 7 | |a Stochastische Analysis |0 (DE-588)4132272-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 0 | 1 | |a Stochastische Analysis |0 (DE-588)4132272-1 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 978-3-540-40502-3 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-3-642-18786-5 |x Verlag |3 Volltext |
| 912 | |a ZDB-2-SMA |a ZDB-2-BAE | ||
| 940 | 1 | |q ZDB-2-SMA_Archive | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027857896 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804153096989835264 |
|---|---|
| any_adam_object | |
| author | Benth, Fred Espen |
| author_facet | Benth, Fred Espen |
| author_role | aut |
| author_sort | Benth, Fred Espen |
| author_variant | f e b fe feb |
| building | Verbundindex |
| bvnumber | BV042422479 |
| classification_rvk | QK 660 SK 820 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA ZDB-2-BAE |
| ctrlnum | (OCoLC)1184400243 (DE-599)BVBBV042422479 |
| dewey-full | 519 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-18786-5 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04242nmm a2200637zc 4500</leader><controlfield tag="001">BV042422479</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20211115 </controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">150317s2004 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783642187865</subfield><subfield code="c">Online</subfield><subfield code="9">978-3-642-18786-5</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-3-642-18786-5</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1184400243</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV042422479</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-634</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 820</subfield><subfield code="0">(DE-625)143258:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">MAT 000</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60H30</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60G35</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">91B28</subfield><subfield code="2">msc</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Benth, Fred Espen</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Option Theory with Stochastic Analysis</subfield><subfield code="b">An Introduction to Mathematical Finance</subfield><subfield code="c">by Fred Espen Benth</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin, Heidelberg</subfield><subfield code="b">Springer Berlin Heidelberg</subfield><subfield code="c">2004</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (X, 162p. 21 illus)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Universitext</subfield><subfield code="x">0172-5939</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. Finally, incomplete markets are also discussed, with references to different practical/theoretical approaches to pricing problems in such markets. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">In contrast to many books addressed to an audience with greater mathematical experience, it can appeal to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail. It dispenses with introductory chapters summarising the theory of stochastic analysis and processes, leading the reader instead through the stochastic calculus needed to perform the basic derivations and understand the basic tools It focuses on ideas and methods rather than full rigour, while remaining mathematically correct. The text aims at describing the basic assumptions (empirical finance) behind option theory, something that is very useful for those wanting actually to apply this. Further, it includes a big section on pricing using both the pde-approach and the martingale approach (stochastic finance). Finally, the reader is presented the two main approaches for numerical computation of option prices (computational finance). </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">In this chapter, Visual Basic code is supplied for all methods, in the form of an add-in for Excel. The book can be used at an introductory level in Universities. Exercises (with solutions) are added after each chapter</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Distribution (Probability theory)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics / Statistics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantitative Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Probability Theory and Stochastic Processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistics for Business/Economics/Mathematical Finance/Insurance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematik</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistik</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische Analysis</subfield><subfield code="0">(DE-588)4132272-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Stochastische Analysis</subfield><subfield code="0">(DE-588)4132272-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">978-3-540-40502-3</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-3-642-18786-5</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SMA</subfield><subfield code="a">ZDB-2-BAE</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">ZDB-2-SMA_Archive</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-027857896</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| id | DE-604.BV042422479 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:11Z |
| institution | BVB |
| isbn | 9783642187865 |
| issn | 0172-5939 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027857896 |
| oclc_num | 1184400243 |
| open_access_boolean | |
| owner | DE-384 DE-703 DE-91 DE-BY-TUM DE-634 |
| owner_facet | DE-384 DE-703 DE-91 DE-BY-TUM DE-634 |
| physical | 1 Online-Ressource (X, 162p. 21 illus) |
| psigel | ZDB-2-SMA ZDB-2-BAE ZDB-2-SMA_Archive |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Springer Berlin Heidelberg |
| record_format | marc |
| series2 | Universitext |
| spelling | Benth, Fred Espen Verfasser aut Option Theory with Stochastic Analysis An Introduction to Mathematical Finance by Fred Espen Benth Berlin, Heidelberg Springer Berlin Heidelberg 2004 1 Online-Ressource (X, 162p. 21 illus) txt rdacontent c rdamedia cr rdacarrier Universitext 0172-5939 The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. Finally, incomplete markets are also discussed, with references to different practical/theoretical approaches to pricing problems in such markets. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. In contrast to many books addressed to an audience with greater mathematical experience, it can appeal to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail. It dispenses with introductory chapters summarising the theory of stochastic analysis and processes, leading the reader instead through the stochastic calculus needed to perform the basic derivations and understand the basic tools It focuses on ideas and methods rather than full rigour, while remaining mathematically correct. The text aims at describing the basic assumptions (empirical finance) behind option theory, something that is very useful for those wanting actually to apply this. Further, it includes a big section on pricing using both the pde-approach and the martingale approach (stochastic finance). Finally, the reader is presented the two main approaches for numerical computation of option prices (computational finance). In this chapter, Visual Basic code is supplied for all methods, in the form of an add-in for Excel. The book can be used at an introductory level in Universities. Exercises (with solutions) are added after each chapter Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft 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 1\p DE-604 Erscheint auch als Druck-Ausgabe 978-3-540-40502-3 https://doi.org/10.1007/978-3-642-18786-5 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Benth, Fred Espen Option Theory with Stochastic Analysis An Introduction to Mathematical Finance Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft 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_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 by Fred Espen Benth |
| title_fullStr | Option Theory with Stochastic Analysis An Introduction to Mathematical Finance by Fred Espen Benth |
| title_full_unstemmed | Option Theory with Stochastic Analysis An Introduction to Mathematical Finance by 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 | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Stochastische Analysis (DE-588)4132272-1 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Stochastische Analysis Optionspreistheorie |
| url | https://doi.org/10.1007/978-3-642-18786-5 |
| work_keys_str_mv | AT benthfredespen optiontheorywithstochasticanalysisanintroductiontomathematicalfinance |