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Introduction to Option Pricing Theory
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Introduction to Option Pricing Theory (Hardback)

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Since the appearance of seminal works by R. Merton, and F. Black

and M. Scholes, stochastic processes have assumed an increasingly

important role in the development of the mathematical theory of

finance. This work examines, in some detail, that part of stochastic

finance pertaining to option pricing theory. Thus the exposition is

confined to areas of stochastic finance that are relevant to the

theory, omitting such topics as futures and term-structure.

This self-contained work begins with five introductory chapters

on stochastic analysis, making it accessible to readers with little or

no prior knowledge of stochastic processes or stochastic analysis.

These chapters cover the essentials of Ito's theory of stochastic

integration, integration with respect to semimartingales, Girsanov's

Theorem, and a brief introduction to stochastic differential


Subsequent chapters treat more specialized topics, including

option pricing in discrete time, continuous time trading, arbitrage,

complete markets, European options (Black and Scholes Theory),

American options, Russian options, discrete approximations, and asset

pricing with stochastic volatility. In several chapters, new results

are presented. A unique feature of the book is its emphasis on

arbitrage, in particular, the relationship between arbitrage and

equivalent martingale measures (EMM), and the derivation of necessary

and sufficient conditions for no arbitrage (NA).

{\it Introduction to Option Pricing Theory} is intended for

students and researchers in statistics, applied mathematics, business,

or economics, who have a background in measure theory and have

completed probability theory at the intermediate level. The work

lends itself to self-study, as well as to a one-semester course at the

graduate level.

Science & MathematicsMathematicsApplied mathematicsStochasticsScience & MathematicsMathematicsProbability & statistics Publisher: Birkhauser Boston Inc Publication Date: 01/10/1999 ISBN-13: 9780817641085  Details: Type: Hardback Format: Books
Availability: Not currently available to order online.  

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