An elementary introduction to mathematical finance

By:

Ross, Sheldom M

Material type: Text

TextPublication details: Cambridge University Press New York 2011Edition: 3rdDescription: xv, 305 pISBN:

9780521192538

Subject(s):

Mathematics

DDC classification:

519.5 ROS

Summary: 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 (https://www.cambridge.org/ma/universitypress/subjects/mathematics/mathematical-finance/elementary-introduction-mathematical-finance-3rd-edition?format=HB&isbn=9780521192538)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Operations Management & Quantitative Techniques	519.5 ROS (Browse shelf(Opens below))	1	Available		007403

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Table of content:
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.

[https://www.cambridge.org/ma/universitypress/subjects/mathematics/mathematical-finance/elementary-introduction-mathematical-finance-3rd-edition?format=HB&isbn=9780521192538]

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

(https://www.cambridge.org/ma/universitypress/subjects/mathematics/mathematical-finance/elementary-introduction-mathematical-finance-3rd-edition?format=HB&isbn=9780521192538)

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