Introduction to the Mathematics of Finance Arbitrage and Option Pricing /

• Main Author: Roman, Steven (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2012.
• Edition: 2nd ed. 2012.
• Series: Undergraduate Texts in Mathematics,
• Subjects: Mathematics.; Finance.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Finance, general.

The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathem...

Table of Contents:

• Preface
• Notation Key and Greek Alphabet
• 0 Introduction
• Part 1 Options and Arbitrage
• 1 Background on Options
• 2 An Aperitif on Arbitrage
• Part 2 Discrete-Time Pricing Models
• 3 Discrete Probability
• 4 Stochastic Processes, Filtrations and Martingales
• 5 Discrete-Time Pricing Models
• 6 The Binomial Model
• 7 Pricing Nonattainable Alternatives in an Incomplete Market
• 8 Optimal Stopping and American Options
• Part 3 the Black-Scholes Option Pricing Formula
• 9 Continuous Probability
• 10 The Black-Scholes Option Pricing Formula
• Appendix A: Convexity and the Separation Theorem
• Appendix B: Closed, Convex Cones
• Selected Solutions
• References
• Index.