Chapman and Hall/CRC
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 t
Interest and Present Value. Probability Spaces. Random Variables. Options and Arbitrage. Discrete-Time Portfolio Processes. Expectation of a Random Variable. The Binomial Model. Conditional Expectation and Discrete-Time Martingales. The Binomial Model Revisited. Stochastic Calculus. The Black-Scholes-Merton Model. Continuous-Time Martingales. The BSM Model Revisited. Other Options. Appendices. Bibliography. Index.