Welcome to Scribd. Sign in or start your free trial to enjoy unlimited e-books, audiobooks & documents.Find out more
Standard view
Full view
of .
Look up keyword or section
Like this

Table Of Contents

1. Probability
1.1 Probabilities and Events
1.2 Conditional Probability
1.3 Random Variables and Expected Values
1.4 Covariance and Correlation
1.5 Conditional Expectation
1.6 Exercises
2. Normal Random Variables
2.1 Continuous Random Variables
2.2 Normal Random Variables
2.3 Properties of Normal Random Variables
2.4 The Central Limit Theorem
2.5 Exercises
3. Brownian Motion and Geometric Brownian Motion
3.1 Brownian Motion
3.2 Brownian Motion as a Limit of Simpler Models
3.4 ∗The Maximum Variable
3.5 The Cameron-Martin Theorem
3.6 Exercises
4. Interest Rates and Present Value Analysis
4.1 Interest Rates
4.2 Present Value Analysis
4.3 Rate of Return
4.4 Continuously Varying Interest Rates
4.5 Exercises
5. Pricing Contracts via Arbitrage
5.1 An Example in Options Pricing
5.2 Other Examples of Pricing via Arbitrage
5.3 Exercises
6. The Arbitrage Theorem
6.1 The Arbitrage Theorem
6.2 The Multiperiod Binomial Model
6.3 Proof of the Arbitrage Theorem
6.4 Exercises
7. The Black–Scholes Formula
7.1 Introduction
7.2 The Black–Scholes Formula
7.3 Properties of the Black–Scholes Option Cost
7.4 The Delta Hedging Arbitrage Strategy
7.5 Some Derivations
7.5.1 The Black–Scholes Formula
7.5.2 The Partial Derivatives
7.6 European Put Options
7.7 Exercises
8. Additional Results on Options
8.1 Introduction
8.2 Call Options on Dividend-Paying Securities
8.3 Pricing American Put Options
8.4 Adding Jumps to Geometric Brownian Motion
8.4.1 When the Jump Distribution Is Lognormal
8.4.2 When the Jump Distribution Is General
8.5 Estimating the Volatility Parameter
8.5.1 Estimating a Population Mean and Variance
8.5.2 The Standard Estimator of Volatility
8.5.3 Using Opening and Closing Data
8.5.4 Using Opening, Closing, and High–Low Data
8.6 Some Comments
8.6.2 When the Interest Rate Changes
8.6.3 Final Comments
8.7 Appendix
8.8 Exercises
9. Valuing by Expected Utility
9.1 Limitations of Arbitrage Pricing
9.2 Valuing Investments by Expected Utility
9.3 The Portfolio Selection Problem
9.3.1 Estimating Covariances
9.4 Value at Risk and Conditional Value at Risk
9.5 The Capital Assets Pricing Model
9.7 Exercises
10. Stochastic Order Relations
10.1 First-Order Stochastic Dominance
10.2 Using Coupling to Show Stochastic Dominance
10.3 Likelihood Ratio Ordering
10.4 A Single-Period Investment Problem
10.5 Second-Order Dominance
10.5.1 Normal Random Variables
10.5.2 More on Second-Order Dominance
10.6 Exercises
11. Optimization Models
11.1 Introduction
11.2 A Deterministic Optimization Model
11.3.2 An Investment Allocation Model
11.4 Exercises
12. Stochastic Dynamic Programming
12.1 The Stochastic Dynamic Programming Problem
12.2 Infinite Time Models
12.3 Optimal Stopping Problems
12.4 Exercises
13. Exotic Options
13.1 Introduction
13.2 Barrier Options
13.3 Asian and Lookback Options
13.4 Monte Carlo Simulation
13.5 Pricing Exotic Options by Simulation
13.6 More Efficient Simulation Estimators
13.7 Options with Nonlinear Payoffs
13.10 Exercises
14. Beyond Geometric Brownian Motion Models
14.1 Introduction
14.2 Crude Oil Data
14.3 Models for the Crude Oil Data
14.4 Final Comments
15. Autoregressive Models and Mean Reversion
15.1 The Autoregressive Model
15.2 Valuing Options by Their Expected Return
15.4 Exercises
0 of .
Results for:
No results containing your search query
P. 1
An Elementary Introduction Mathematical Finance

An Elementary Introduction Mathematical Finance

Ratings: (0)|Views: 553|Likes:
Published by Minar Uz Zaman

More info:

Published by: Minar Uz Zaman on Nov 07, 2011
Copyright:Attribution Non-commercial


Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less





You're Reading a Free Preview
Pages 7 to 54 are not shown in this preview.
You're Reading a Free Preview
Pages 61 to 190 are not shown in this preview.
You're Reading a Free Preview
Pages 197 to 236 are not shown in this preview.
You're Reading a Free Preview
Pages 243 to 306 are not shown in this preview.
You're Reading a Free Preview
Pages 313 to 323 are not shown in this preview.

Activity (12)

You've already reviewed this. Edit your review.
1 hundred reads
1 thousand reads
amitjan1980 liked this
nekougolo3064 liked this
kakerote liked this
potuijt liked this
ratchagar a liked this
asong_soekamti liked this

You're Reading a Free Preview

/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->