ABSTRACT

Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background as needed, the t

chapter 1|12 pages

Interest and Present Value

chapter 2|14 pages

Probability Spaces

chapter 3|16 pages

Random Variables

chapter 4|16 pages

Options and Arbitrage

chapter 5|8 pages

Discrete-Time Portfolio Processes

chapter 6|10 pages

Expectation of a Random Variable

chapter 7|12 pages

The Binomial Model

chapter 9|18 pages

The Binomial Model Revisited

chapter 10|22 pages

Stochastic Calculus

chapter 11|10 pages

1 The Stock Price SDE

chapter 12|12 pages

Continuous-Time Martingales

chapter 13|10 pages

The BSM Model Revisited

chapter 14|36 pages

Other Options

chapter |6 pages

A Sets and Counting

chapter |4 pages

B Solution of the BSM PDE