Designed for readers having a background in standard multivariable calculus, Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. New examples and exercises have been added in this second edition.

Hugo D. Junghenn is Professor of Mathematics at The George Washington University. He has published numerous journal articles and is the author of several books, including A Course in Real Analysis and Principles of Analysis: Measure, Integration, Functional Analysis, and Applications. His research interests include functional analysis, semigroups, and probability.

1 Basic Finance
2 Probability Spaces
3 Random Variables
4 Options and Arbitrage
5 Discrete-Time Portfolio Processes
6 Expectation
7 The Binomial Model
8 Conditional Expectation
9 Martingales in Discrete Time Markets
10 American Claims in Discrete-Time Markets
11 Stochastic Calculus
12 The Black-Scholes-Merton Model
13 Martingales in the Black-Scholes-Merton Model
14 Path Independent Options
15 Path Dependent Options
A Basic Combinatorics
B Solution of the BSM PDE
C Properties of the BSM Call Function
D Solutions to Odd-Numbered Problems