An Elementary Introduction to Mathematical Finance – Sheldon M. Ross – 3rd Edition

Description

This 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 .

Assuming no prior of ; 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 ; 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. Brownian Motion and 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 Brownian Motion Models
15. Autoregressive Models and Mean Reversion
Index
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