Option Theory with Stochastic Analysis by Fred Espen Benth

Option Theory with Stochastic Analysis by Fred Espen Benth

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. Options and derivatives are tools to control risk ex­ posure, and used in the strategies of investors speculating in markets like fixed-income, stocks, currencies, commodities and energy. A combination of mathematical and economical reasoning is used to find the price of a derivatives contract. This book gives an introduction to the theory of mathematical finance, which is the modern approach to analyse options and derivatives. Roughly speaking, we can divide mathematical fi­ nance into three main directions. In stochastic finance the purpose is to use economic theory with stochastic analysis to derive fair prices for options and derivatives. The results are based on stochastic modelling of financial as­ sets, which is the field of empirical finance. Numerical approaches for finding prices of options are studied in computational finance. All three directions are presented in this book. Algorithms and code for Visual Basic functions are included in the numerical chapter to inspire the reader to test out the theory in practice. The objective of the book is not to give a complete account of option theory, but rather relax the mathematical rigour to focus on the ideas and techniques.

From the reviews:

"This is a … book concerned solely with describing the mathematics of option pricing and I found it a delight to readIt is very well written, quite comprehensive and non-rigorous so that it can be used on courses aimed at a variety of students. … The book includes a healthy number of exercises and there are fully worked solutions to most of these." (David Applebaum, The Mathematical Gazette, Vol. 90 (517), 2006)

"The book provides an introduction to the basic ideas of the mathematical theory of financial options valuation, or, more concretely, to the Black-Scholes theory of pricing contingent claims on equity. … The text is a brief, neat, carefully written introduction to the fundamentals of the mathematics and the modelling of the analysis of options pricing." (José Lúis Fernandez Perez, Zentralblatt MATH, Vol. 1042 (17), 2004)

SKU	Nicht verfügbar
ISBN 13	9783540405023
ISBN 10	354040502X
Titel	Option Theory with Stochastic Analysis
Autor	Fred Espen Benth
Serie	Universitext
Buchzustand	Nicht verfügbar
Bindungsart	Paperback
Verlag	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Erscheinungsjahr	2004-03-01
Seitenanzahl	162
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar