Gå direkt till innehållet

10% rabatt* med kod JULI25 »

Till startsidan
Böcker, spel, garn, pyssel m.m.
Introduction to Option Pricing Theory
Spara

Introduction to Option Pricing Theory

häftad, Engelska, 2012
1 421 kr
Lägsta pris på PriceRunner
Beställningsvara. Skickas inom 6-10 vardagar
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.

Mer på Adlibris

Om Adlibris

Adlibris är Nordens största bokhandel och erbjuder över 13 miljoner boktitlar med det senaste inom spel, pyssel, garn och allt som hör en modern bokhandel till. Adlibris Campus erbjuder studenter att köpa och sälja både ny och begagnad studentlitteratur och Adlibris Pocket erbjuder ett skräddarsytt och handplockat sortiment i reselägen. Adlibris är en del av Bonnier Group.

  • Alltid bra priser

  • Fri frakt över 299 kr

  • Smidiga leveranser

Nyhetsbrev

Ta del av våra bästa lästips, erbjudanden och kampanjer. Anmäl dig nu och få 10% rabatt på ditt första köp. Erbjudandet gäller endast nya prenumeranter, privatkunder, ej kurslitteratur, digitala böcker eller presentkort.