An Introduction to Financial Mathematics

Option Valuation

Hugo D. Junghenn

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English

Chapman & Hall/CRC
21 January 2023

Economic statistics; Applied mathematics

Series: Chapman and Hall/CRC Financial Mathematics Series

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives.

The book consists of ﬁfteen chapters, the ﬁrst ten of which develop option valuation techniques in discrete time, the last ﬁve describing the theory in continuous time.

The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model.

The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author’s webpage https://home.gwu.edu/~hdj/.

By: Hugo D. Junghenn
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Edition: 2nd edition
Dimensions: Height: 234mm, Width: 156mm,
Weight: 600g
ISBN: 9781032475752
ISBN 10: 1032475757
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 318
Publication Date: 21 January 2023
Audience: College/higher education , General/trade , Primary , ELT Advanced
Format: Paperback
Publisher's Status: Active

1 Basic Finance 2 Probability Spaces 3 Random Variables 4 Options and Arbitrage 5 Discrete-Time Portfolio Processes 6 Expectation 7 The Binomial Model 8 Conditional Expectation 9 Martingales in Discrete Time Markets 10 American Claims in Discrete-Time Markets 11 Stochastic Calculus 12 The Black-Scholes-Merton Model 13 Martingales in the Black-Scholes-Merton Model 14 Path Independent Options 15 Path Dependent Options A Basic Combinatorics B Solution of the BSM PDE C Properties of the BSM Call Function D Solutions to Odd-Numbered Problems

Hugo D. Junghenn is Professor of Mathematics at The George Washington University. He has published numerous journal articles and is the author of several books, including A Course in Real Analysis and Principles of Analysis: Measure, Integration, Functional Analysis, and Applications. His research interests include functional analysis, semigroups, and probability.