An Introduction to Mathematical Finance: Options and Other Topics - Hardcover

Ross, Sheldon M.

Hardcover

ISBN 10: 0521770432 ISBN 13: 9780521770439

Publisher: Cambridge University Press, 1999

Synopsis

This mathematically elementary introduction to the theory of options pricing presents the Black-Scholes theory of options as well as introducing such topics in finance as the time value of money, mean variance analysis, optimal portfolio selection, and the capital assets pricing model. The author assumes no prior knowledge of probability and presents all the necessary preliminary material simply and clearly. He explains the concept of arbitrage with examples, and then uses the arbitrage theorem, along with an approximation of geometric Brownian motion, to obtain a simple derivation of the Black-Scholes formula. In the later chapters he presents real price data indicating that this model is not always appropriate and shows how the model can be generalized to deal with such situations. No other text presents such topics in a mathematically accurate but accessible way. It will appeal to professional traders as well as undergraduates studying the basics of finance.

About this title

Book Description

A unique text on the basics of option pricing that is mathematically accurate and yet accessible to readers with limited mathematical training; it will appeal to professional traders as well as undergraduates studying the basics of finance. It explains arbitrage, the Black-Scholes option pricing formula, and other topics.

Review

'... 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.' P. P. Boyle, ISI Short Book Reviews

'... provides an excellent introduction to the mathematics of finance ... very useful as a text for an introductory course'. Julian O'Shea, Zentralblatt MATH

'... 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 for libraries to purchase.' Georgi Boshnakov, The Statistician

'... 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

'... written in a pleasant style and serves as a good introduction to the subject of mathematical finance.' Niew Archief voor Wiskunde

Edition details

• Publisher: Cambridge University Press
• Publication date: 1999
• ISBN 10: 0521770432
• ISBN 13: 9780521770439
• Binding: Hardcover
• Language: English
• Number of pages: 200