Universitext

Option Theory with Stochastic Analysis

An Introduction to Mathematical Finance

Authors: Benth, Fred Espen

Buy this book

eBook 32,99 €
price for Spain (gross)
  • ISBN 978-3-642-18786-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 41,55 €
price for Spain (gross)
  • ISBN 978-3-540-40502-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this Textbook

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.

Reviews

From the reviews:

"This is a … book concerned solely with describing the mathematics of option pricing and I found it a delight to read. It is very well written, quite comprehensive and non-rigorous so that it can be used on courses aimed at a variety of students. … The book includes a healthy number of exercises and there are fully worked solutions to most of these." (David Applebaum, The Mathematical Gazette, Vol. 90 (517), 2006)

"The book provides an introduction to the basic ideas of the mathematical theory of financial options valuation, or, more concretely, to the Black-Scholes theory of pricing contingent claims on equity. … The text is a brief, neat, carefully written introduction to the fundamentals of the mathematics and the modelling of the analysis of options pricing." (José Lúis Fernandez Perez, Zentralblatt MATH, Vol. 1042 (17), 2004)


Table of contents (5 chapters)

  • Introduction

    Benth, Fred Espen

    Pages 1-10

    Preview Buy Chapter 30,19 €
  • Statistical Analysis of Data from the Stock Market

    Benth, Fred Espen

    Pages 11-32

    Preview Buy Chapter 30,19 €
  • An Introduction to Stochastic Analysis

    Benth, Fred Espen

    Pages 33-52

    Preview Buy Chapter 30,19 €
  • Pricing and Hedging of Contingent Claims

    Benth, Fred Espen

    Pages 53-97

    Preview Buy Chapter 30,19 €
  • Numerical Pricing and Hedging of Contingent Claims

    Benth, Fred Espen

    Pages 99-119

    Preview Buy Chapter 30,19 €

Buy this book

eBook 32,99 €
price for Spain (gross)
  • ISBN 978-3-642-18786-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 41,55 €
price for Spain (gross)
  • ISBN 978-3-540-40502-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Option Theory with Stochastic Analysis
Book Subtitle
An Introduction to Mathematical Finance
Authors
Series Title
Universitext
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-18786-5
DOI
10.1007/978-3-642-18786-5
Softcover ISBN
978-3-540-40502-3
Series ISSN
0172-5939
Edition Number
1
Number of Pages
X, 162
Number of Illustrations and Tables
1 b/w illustrations
Additional Information
Original Norwegian edition published by Universitetsforlaget AS, Oslo, 2002
Topics