LEADER 04363nam 22006732 450 001 9910462534803321 005 20151005020621.0 010 $a1-316-08924-X 010 $a1-139-57933-9 010 $a1-283-63763-4 010 $a1-139-56984-8 010 $a1-107-25412-4 010 $a1-139-57250-4 010 $a1-139-02613-5 010 $a1-139-56894-9 010 $a1-139-57075-7 035 $a(CKB)2670000000261196 035 $a(EBL)1025023 035 $a(OCoLC)815389296 035 $a(SSID)ssj0000722477 035 $a(PQKBManifestationID)11384258 035 $a(PQKBTitleCode)TC0000722477 035 $a(PQKBWorkID)10695388 035 $a(PQKB)10253628 035 $a(MiAaPQ)EBC1025023 035 $a(Au-PeEL)EBL1025023 035 $a(CaPaEBR)ebr10608440 035 $a(CaONFJC)MIL395009 035 $a(UkCbUP)CR9781139026130 035 $a(EXLCZ)992670000000261196 100 $a20141103d2013|||| uy| 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe Black-Scholes model /$fMarek Capinski, Ekkehard Kopp$b[electronic resource] 210 1$aCambridge :$cCambridge University Press,$d2013. 215 $a1 online resource (ix, 168 pages) $cdigital, PDF file(s) 225 1 $aMastering mathematical finance 300 $aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). 311 $a0-521-17300-0 311 $a1-107-00169-2 327 $aCover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing 327 $aGeneral derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options 327 $aContinuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index 330 $aThe Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study. 410 0$aMastering mathematical finance. 606 $aOptions (Finance)$xPrices$xMathematical models 615 0$aOptions (Finance)$xPrices$xMathematical models. 676 $a332.64/53 700 $aCapin?ski$b Marek$f1951-$0536472 702 $aKopp$b P. E.$f1944- 801 0$bUkCbUP 801 1$bUkCbUP 906 $aBOOK 912 $a9910462534803321 996 $aThe Black-Scholes model$92465185 997 $aUNINA