Noise Theory and Application to Physics: From Fluctuations to Information

1. The Binomial No-Arbitrage Pricing Model
1.1. One-Period Binomial Model
1.2. Multiperiod Binomial Model
1.3. Computational Considerations
1.4. Summary
1.5. Notes
1.6. Exercises 2. Probability Theory on Coin Toss Space
2.1. Finite Probability Spaces
2.2. Random Variables, Distributions, and Expectations
2.3. Conditional Expectations
2.4. Martingales
2.5. Markov Processes
2.6. Summary
2.7. Notes
2.8. Exercises 3. State Prices
3.1. Change of Measure
3.2. Radon-Nikod\'ym Derivative Process
3.3. Capital Asset Pricing Model
3.4. Summary
3.5. Notes
3.6. Exercises 4. American Derivative Securities
4.1. Introduction
4.2. Non-Path-Dependent American Derivatives
4.3. Stopping Times
4.4. General American Derivatives
4.5. American Call Options
4.6. Summary
4.7. Notes
4.8. Exercises 5. Random Walk
5.1. Introduction
5.2. First Passage Times
5.3. Reflection Principle
5.4. Perpetual American Put: An Example
5.5. Summary
5.6. Notes
5.7. Exercises 6. Interest-Rate-Dependent Assets
6.1. Introduction
6.2. Binomial Model for Interest Rates
6.3. Fixed-Income Derivatives
6.4. Forward Measures
6.5. Futures
6.6. Summary
6.7. Notes
6.8. Exercises
Proof of Fundamental Properties of Conditional Expectations
References
Index