Kallianpur, Gopinath Primary Author mixed material bibliography Boston Birkhauser 2000 en English

Printed Material

x, 269 p. : refs., index ; 24 cm. 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.. "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. (text from the publisher) TABLE OF CONTENTS Preface 1 Stochastic Integration 2 Ito’s Formula and its Applications 3 Representation of Square Integrable Martingales 4 Stochastic Differential Equations 5 Girsanov’s Theorem 6 Option Pricing in Discrete Time 7 Introduction to Continuous Time Trading 8 Arbitrage and Equivalent Martingale Measures 9 Complete Markets 10 Black and Scholes Theory 11 Discrete Approximations 12 The American Options 13 Asset Pricing with Stochastic Volatility 14 The Russian Options Options (Finance) EEBL/TK 0817641084 Perpustakaan - Sekolah Tinggi Manajemen PPM Pusat Informasi Manajemen EEBL/TK Kal 30605 General (General) EEBL/TK Kal 14038 2001-06-21 00:00:00 2026-03-04 11:43:04 machine generated