Item description for Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance (Universitext) by Fred E. Benth...
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.
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Est. Packaging Dimensions: Length: 9.2" Width: 6.1" Height: 0.4" Weight: 0.6 lbs.
Release Date Mar 19, 2004
ISBN 354040502X ISBN13 9783540405023
Availability 82 units. Availability accurate as of Jan 19, 2017 03:59.
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Reviews - What do customers think about Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance (Universitext)?
Option Mathematics Mar 12, 2006
This is a highly mathematical introduction to the Option Theory at university level and can be read and understood only with the necessary background in higher mathematics particularly in the field of stochastic analysis. Bearing this in mind, this is a great book for it covers the theoretical background for statistical methods applied to the financial science.