An elementary introduction to mathematical finance
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Bibliographic Information
An elementary introduction to mathematical finance
Cambridge University Press, 2011
3rd ed
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Includes bibliographical references and index
Description and Table of Contents
Description
This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this third edition are new chapters on Brownian motion and geometric Brownian motion, stochastic order relations and stochastic dynamic programming, along with expanded sets of exercises and references for all the chapters.
Table of Contents
- 1. Probability
- 2. Normal random variables
- 3. Geometric Brownian motion
- 4. Interest rates and present value analysis
- 5. Pricing contracts via arbitrage
- 6. The Arbitrage Theorem
- 7. The Black-Scholes formula
- 8. Additional results on options
- 9. Valuing by expected utility
- 10. Stochastic order relations
- 11. Optimization models
- 12. Stochastic dynamic programming
- 13. Exotic options
- 14. Beyond geometric motion models
- 15. Autoregressive models and mean reversion.
by "Nielsen BookData"