An Introduction to Financial Mathematics: Option Valuation, 2nd Edition (Hardback) book cover

An Introduction to Financial Mathematics

Option Valuation, 2nd Edition

By Hugo D. Junghenn

Chapman and Hall/CRC

304 pages | 38 B/W Illus.

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pub: 2019-03-08
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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

Table of Contents

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

About the Author

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.

About the Series

Chapman and Hall/CRC Financial Mathematics Series

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Subject Categories

BISAC Subject Codes/Headings:
MATHEMATICS / Probability & Statistics / General