Option Theory with Stochastic Analysis

An Introduction to Mathematical Finance

By:

Fred Espen Benth

Format:

Paperback / softback

Series:

Universitext

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Description

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. 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 not only to students entering the discipline, but also to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail.

Release date Australia

November 26th, 2003

Author

Fred Espen Benth

Audiences

General (US: Trade)
Professional & Vocational
Tertiary Education (US: College)

Edition

Softcover reprint of the original 1st ed. 2004

Illustrations

1 Illustrations, black and white; X, 162 p. 1 illus.

Pages

162

Series

Universitext

Dimensions

156x234x9

ISBN-13

9783540405023

Product ID

2108641

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