Introduction to Option Pricing Theory

Authors: Kallianpur, Gopinath, Karandikar, Rajeeva L.

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About this book

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.

Table of contents (14 chapters)

  • Stochastic Integration

    Kallianpur, Gopinath (et al.)

    Pages 1-45

  • Itô’s Formula and its Applications

    Kallianpur, Gopinath (et al.)

    Pages 47-69

  • Representation of Square Integrable Martingales

    Kallianpur, Gopinath (et al.)

    Pages 71-78

  • Stochastic Differential Equations

    Kallianpur, Gopinath (et al.)

    Pages 79-93

  • Girsanov’s Theorem

    Kallianpur, Gopinath (et al.)

    Pages 95-101

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-1-4612-0511-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.00
price for USA
  • ISBN 978-0-8176-4108-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-1-4612-6796-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Option Pricing Theory
Authors
Copyright
2000
Publisher
Birkhäuser Basel
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4612-0511-1
DOI
10.1007/978-1-4612-0511-1
Hardcover ISBN
978-0-8176-4108-5
Softcover ISBN
978-1-4612-6796-6
Edition Number
1
Number of Pages
X, 269
Topics