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268 Pages


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06/20/2013 01:34:16 

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Editorial Review  Book Description:

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 termstructure. This
selfcontained 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 equations. 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 selfstudy, as well as to a onesemester course at the graduate
level.
Book Info Examines, in some detail, the part of
stochastic finance pertaining to option pricing theory. Covers the essentials of
Ito`s theory of stochastic integration, integration with respect to
semimartingales, and a brief introduction to stochastic differential equations.
DLC: Options (Finance)PricesMathematical models. 

Customer Review:

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13 of 18 People found the following review helpful.

A truly wonderful book, July 27, 2000 ByRajesh Kaldate  See all my reviews This review is from: Introduction to Option Pricing Theory (Hardcover) I am a relatively new student of stochastic processes. The first 4 chapters which are essentially devoted to explaining the theoretical concepts (Ito inetgration, semimartingales, etc..) are so lucidly written that it is very easy for someone with a limited idea of stochastic process to comprehend them. After establishing these concepts, the book discusses how the earlier theory is applied to pricing by discussing the options pricing models under different scenarios. I felt that although i understood the earlier discussions regarding arbitrage, the part on how it relates with equivalent martingales was quite difficult to understand. But it is probably because i am new to this subject. In all this is an excellent effort by the authors to make a difficult topic readable and understandable. Finally i feel that people, who are genuinely interested in investing their hard earned money in options, should take the time and effort to learn from this book rather than the typical...


2 of 31 People found the following review helpful.

Introduction to option pricing theory, June 22, 2000 ByTru  a mathematician (Australia)  See all my reviews This review is from: Introduction to Option Pricing Theory (Hardcover) Introduction to option pricing theory.Stochastic calculus.




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