An Elementary Introduction to Mathematical Finance / Edition 3

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Overview

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.

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Editorial Reviews

From the Publisher
'... 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

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Product Details

  • ISBN-13: 9780521192538
  • Publisher: Cambridge University Press
  • Publication date: 2/28/2011
  • Edition description: New Edition
  • Edition number: 3
  • Pages: 322
  • Product dimensions: 6.20 (w) x 9.00 (h) x 0.90 (d)

Meet the Author

Sheldon M. Ross is the Epstein Chair Professor at the Department of Industrial and Systems Engineering, University of Southern California. He received his Ph.D. in statistics at Stanford University in 1968 and was formerly a Professor at the University of California, Berkeley, from 1976 until 2004. He has published more than 100 articles and a variety of textbooks in the areas of statistics and applied probability, including Topics in Finite and Discrete Mathematics (2000), Introduction to Probability and Statistics for Engineers and Scientists, Fourth Edition (2009), A First Course in Probability, Eighth Edition (2009), and Introduction to Probability Models, Tenth Edition (2009), among others. Dr Ross serves as the editor for Probability in the Engineering and Informational Sciences.

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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.

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