Get Free Ebook Option Valuation: A First Course in Financial Mathematics (Chapman and Hall/CRC Financial Mathematics Series), by Hugo D. Junghenn
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Option Valuation: A First Course in Financial Mathematics (Chapman and Hall/CRC Financial Mathematics Series), by Hugo D. Junghenn
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Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background as needed, the text presents an introduction to probability theory and stochastic calculus suitable for undergraduate students in mathematics, economics, and finance.
The first nine chapters of the book describe option valuation techniques in discrete time, focusing on the binomial model. The author shows how the binomial model offers a practical method for pricing options using relatively elementary mathematical tools. The binomial model also enables a clear, concrete exposition of fundamental principles of finance, such as arbitrage and hedging, without the distraction of complex mathematical constructs. The remaining chapters illustrate the theory in continuous time, with an emphasis on the more mathematically sophisticated Black-Scholes-Merton model.
Largely self-contained, this classroom-tested text offers a sound introduction to applied probability through a mathematical finance perspective. Numerous examples and exercises help students gain expertise with financial calculus methods and increase their general mathematical sophistication. The exercises range from routine applications to spreadsheet projects to the pricing of a variety of complex financial instruments. Hints and solutions to odd-numbered problems are given in an appendix and a full solutions manual is available for qualifying instructors.
- Sales Rank: #1427222 in Books
- Published on: 2011-11-23
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x .80" w x 6.10" l, 1.15 pounds
- Binding: Hardcover
- 266 pages
Review
"…a suitable text for an advanced undergraduate or graduate-level course in option valuation via the binomial model and the Black–Scholes–Merton model."
―International Statistical Review, 2013
"The text provides an introduction to classical material of mathematical finance, i.e. the notions of arbitrage, replication, and option pricing in the context of the discrete-time Cox-Ross-Rubinstein and the continuous-time Black-Scholes model, respectively. The book sticks out by not assuming any background in stochastics. All necessary concepts of probability theory, martingales, and It� calculus are provided …"
―Jan Kallsen, Zentralblatt MATH 1247
About the Author
Hugo D. Junghenn is a professor of mathematics at the George Washington University. His research interests include functional analysis and semigroups.
Most helpful customer reviews
0 of 1 people found the following review helpful.
Not for me
By Chiu-ying Wong
I bought this book because I wanted to learn about the mathematics behind quantitative finance. I have a CFA and an engineering degree (OK it was a while ago), so I know about some financial equations, but I wanted to learn more. I first bought the book Introduction to Quantitative Finance by Wilmott, but found that hard to follow, because it talked about things like Ito's Lemma, Martingale, Wiener Process and so on, and I have no idea what they are. So I thought this book could be an introduction to the introduction. It turns out, this book is more a book for scholars of pure mathematics to access the world of finance. It is not for non-pure maths people to learn the math basics necessary to understand quantitative finance. It goes through definition, corollary, propositions, theorem and proofs in pure math language.
For example, when it introduced the idea of a self-financing portfolio, it did not bother to explain why, what is it, what is its purpose. To quote the paragraph introducing self financing portfolios, and replacing the funny letters with those I can type with a normal keyboard, it goes like this:"Suppose that the price of a security S is given by a stochastic process S = (Sn) to N from n=0 on a probability space (Omega, Funny F, strange P), where S0 is constant. We may assume that Funny F = Funny F from N to S, where Funny F from n to S is the natural filtration for S. Note that because S0 is constant, funny F from 0 to S is the trivial sigma field {0, Omega}...blah blah blah....."
I wish it had spelt out its target audience in the outline of the book. In the Preface inside the book, it said :"This text is intended as an introduction to the mathematics and models used in the valuation of financial derivatives. It is designed for an audience with a background in standard multivariable calculus. Otherwise, the book is essentially self-contained." I learned multivariable calculus from an applied maths angle, and this book is like being written in an alien language. Not for me.
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