| Description |
1 online resource (430 p.) |
| Series |
Chapman and Hall/CRC Financial Mathematics Ser |
|
Chapman and Hall/CRC Financial Mathematics Ser
|
| Contents |
Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Author -- 1. Review of Preliminaries -- 1.1. Risky Assets -- 1.1.1. Single and Multiple Discrete Time Periods -- 1.1.2. Continuous-Time Processes -- 1.1.3. Martingales -- 1.2. Risk Aversion and Portfolios of Assets -- 1.2.1. Risk Aversion Constant -- 1.2.2. The Portfolio Problem -- 1.3. Expectation, Variance, and Covariance -- 1.3.1. One Variable Expectation -- 1.3.2. Expectation for Multiple Random Variables -- 1.3.3. Variance of a Linear Combination |
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1.4. Simple Portfolio Optimization -- 1.5. Derivative Assets and Arbitrage -- 1.5.1. Futures -- 1.5.2. Arbitrage and Futures -- 1.5.3. Options -- 1.6. Valuation of Derivatives in a Single Time Period -- 1.6.1. Replicating Portfolios -- 1.6.2. Risk-Neutral Valuation -- 2. Portfolio Selection and CAPM Theory -- 2.1. Portfolio Optimization with Multiple Assets -- 2.1.1. Lagrange Multipliers -- 2.1.2. Qualitative Behavior -- 2.1.3. Correlated Assets -- 2.1.4. Portfolio Separation and the Market Portfolio -- 2.2. Capital Market Theory, Part I -- 2.2.1. Linear Algebraic Approach |
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2.5.2. Examples -- 2.5.3. Optimal Portfolios and Martingales -- 3. Discrete-Time Derivatives Valuation -- 3.1. Options Pricing for Multiple Time Periods -- 3.1.1. Introduction -- 3.1.2. Valuation by Chaining -- 3.1.3. Valuation by Martingales -- 3.2.Key Ideas of Discrete Probability, Part I -- 3.2.1. Algebras and Measurability -- 3.2.2. Independence -- 3.3. Key Ideas of Discrete Probability, Part II -- 3.3.1. Conditional Expectation -- 3.3.2. Application to Pricing Models -- 3.4. Fundamental Theorems of Options Pricing -- 3.4.1. The Market Model -- 3.4.2. Gain, Arbitrage, and Attainability |
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3.4.3. Martingale Measures and the Fundamental Theorems -- 3.5. Valuation of Non-Vanilla Options -- 3.5.1. American and Bermudan Options -- 3.5.2. Barrier Options -- 3.5.3. Asian Options -- 3.5.4. Two-Asset Derivatives -- 3.6. Derivatives Pricing by Simulation -- 3.6.1. Setup and Algorithm -- 3.6.2. Examples -- 3.7. From Discrete to Continuous Time (A Preview) -- 4. Continuous Probability Models -- 4.1. Continuous Distributions and Expectation -- 4.1.1. Densities and Cumulative Distribution Functions -- 4.1.2. Expectation -- 4.1.3. Normal and Lognormal Distributions -- 4.2. Joint Distributions |
| Notes |
Description based upon print version of record |
|
4.2.1. Basic Ideas |
| Form |
Electronic book
|
| ISBN |
9781498780421 |
|
1498780423 |
|
