An Elementary Introduction to Mathematical Finance
An Elementary Introduction to Mathematical Finance
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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.
- This book combines accuracy and easy to understand mathematical arguments
- Assumes almost no technical knowledge, but presents all needed preliminary material
- The third edition is completely revised with two new chapters of material and additional exercises
Reviews & endorsements
'… an excellent introduction to the subject … the book is ideally suited for self-study and provides a very accessible entry point to this fascinating field.' ISI Short Book Reviews
'… this excellent text achieves its aim to provide a highly accessible and at the same time accurate presentation of the subject. I would recommend it.' The Statistician
'… an excellent introduction to the mathematics of finance … very useful as a text for an introductory course.' Zentralblatt Math
'… provides an accessible and relatively deep insight into basic and advanced topics of mathematical finance … The lucid style of the exposition will be appreciated by readers interested in the topic, and by researchers, students, and practitioners.' European Maths Society Journal
Product details
February 2011Hardback
9780521192538
322 pages
231 × 157 × 23 mm
0.61kg
19 b/w illus. 9 tables 175 exercises
Available
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.
