Option Theory with Stochastic Analysis (Paperback)
Language: English
Published by Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2003
Series: Book 133 of 261 - Universitext
- First Edition
- Softcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
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Paperback. 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. Since 1972 and the appearance of the famous Black & Scholes option pric ing formula, derivatives have become an integrated part of everyday life in the financial industry. This book gives an introduction to the theory of mathematical finance, which is the modern approach to analyse options and derivatives. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…
Seller Inventory # 9783540405023
- Title
- Option Theory with Stochastic Analysis (Paperback)
- Author
- Fred Espen Benth
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
- Publication year
- 2003
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 354040502X
- ISBN 13
- 9783540405023
- Edition
- 1st Edition
- Series
- Book 133 of 261: Universitext
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
CitiRetail
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