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Option theory with stochastic analysis: an introduction to mathematical finance

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Bibliographic Details
Main Author:	Benth, Fred Espen (Author)
Format:	Book
Language:	English Norwegian
Published:	Berlin ; Heidelberg ; New York Springer 2004
Series:	Universitext
Subjects:	Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) > Mathematical models Stochastic analysis Optionspreistheorie Stochastische Analysis
Links:	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
Item Description:	Literaturverz. S. 157 - 159
Physical Description:	X, 162 Seiten Diagramme
ISBN:	354040502X 9783540405023

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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
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isbn	354040502X 9783540405023
language	English Norwegian
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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 Optionspreistheorie (DE-588)4135346-8 gnd Stochastische Analysis (DE-588)4132272-1 gnd
subject_GND	(DE-588)4135346-8 (DE-588)4132272-1
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 Optionspreistheorie (DE-588)4135346-8 gnd Stochastische Analysis (DE-588)4132272-1 gnd
topic_facet	Deutschland Optionspreistheorie - Stochastische Analysis Optionspreistheorie / Stochastischer Prozess / Finanzmathematik / Theorie Mathematisches Modell Options (Finance) Mathematical models Stochastic analysis Optionspreistheorie Stochastische Analysis
url	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
work_keys_str_mv	AT benthfredespen matematiskfinans AT benthfredespen optiontheorywithstochasticanalysisanintroductiontomathematicalfinance

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Call Number:	0102 MAT 606 2001 A 7344 Floor plan 0104 MAT 606 2001 A 7344 Floor plan
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