Overview
- Authors:
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Gopinath Kallianpur
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Department of Statistics, University of North Carolina, Chapel Hill, USA
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Rajeeva L. Karandikar
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Department of Mathematics & Statistics, Indian Statistical Institute, New Dehli, India
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Table of contents (14 chapters)
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 1-45
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 47-69
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 71-78
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 79-93
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 95-101
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 103-122
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 123-135
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 137-167
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 169-189
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 191-203
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 205-213
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 215-223
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 225-239
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- Gopinath Kallianpur, Rajeeva L. Karandikar
Pages 241-263
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Back Matter
Pages 265-269
About this book
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 term-structure.
This self-contained 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 self-study, as well as to a one-semester course at the
graduate level.
Authors and Affiliations
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Department of Statistics, University of North Carolina, Chapel Hill, USA
Gopinath Kallianpur
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Department of Mathematics & Statistics, Indian Statistical Institute, New Dehli, India
Rajeeva L. Karandikar