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Bücher Englische Bücher Wissen & Bildung Naturwissenschaft, Medizin, Informatik, Technik Mathematik Wahrscheinlichkeitstheorie & Statistik Introduction to Option Pricing Theory
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Introduction to Option Pricing Theory
Gopinath Kallianpur, Rajeeva L. Karandikar (Broschiert, Englisch)
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Beschreibung
Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the… theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
06.10.2012
Sprache
Englisch
EAN
9781461267966
Herausgeber
Birkhäuser Boston
Sonderedition
Nein
Autor
Gopinath Kallianpur, Rajeeva L. Karandikar
Seitenanzahl
269
Einbandart
Broschiert
Schlagwörter
Black-Scholes, Finance, Ornstein-Uhlenbeck process, Probability theory, Semimartingale, Statistik, Stochastic Differential Equations, Stochastic processes, Wahrscheinlichkeitsrechnung, filtration, geometric Brownian motion, ksa, quadratic variation, statistics, stochastic finance
Thema-Inhalt
PBT - Wahrscheinlichkeitsrechnung und Statistik
PBWL - Stochastik
PBKL - Integralrechnung und -gleichungen
PBW - Angewandte Mathematik
K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer Nature Customer Service Center GmbH, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com
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