MARC record from Internet Archive

LEADER: 04385cam a22004214i 4500
001 2010049863
003 DLC
005 20110419084224.0
008 101124t20112011nyua b 001 0 eng
010 $a 2010049863
020 $a9780521192538
020 $a0521192536
035 $a(OCoLC)ocn688644637
040 $aDLC$cDLC$erda$dYDX$dYDXCP$dCDX$dBWX$dDLC
042 $apcc
050 00 $aHG4515.3$b.R67 2011
082 00 $a332.601/51$222
084 $aMAT003000$2bisacsh
100 1 $aRoss, Sheldon M.$q(Sheldon Mark),$d1943-
245 13 $aAn elementary introduction to mathematical finance /$cSheldon M. Ross.
250 $aThird Edition.
260 $aNew York :$bCambridge University Press,$c2011, ©2011.
300 $axv, 305 pages :$billustrations ;$c24 cm.
336 $atext$2rdacontent
337 $aunmediated$2rdamedia
338 $avolume$2rdacarrier
504 $aIncludes bibliographical references and index.
520 $a"This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this third edition are new chapters on Brownian motion and geometric Brownian motion, stochastic order relations, and stochastic dynamic programming, along with expanded sets of exercises and references for all the chapters"--$cProvided by publisher.
520 $a"This mathematically elementary introduction to the theory of options pricing presents the Black-Scholes theory of options as well as such general topics in finance as the time value of money, rate of return on an investment cash flow sequence, utility functions and expected utility maximization, mean variance analysis, value at risk, optimal portfolio selection, optimization models, and the capital assets pricing model. The author assumes no prior knowledge of probability and presents all the necessary preliminary material simply and clearly in chapters on probability, normal random variables, and the geometric Brownian motion model that underlies the Black-Scholes theory. He carefully explains the concept of arbitrage with many examples; he then presents the arbitrage theorem and uses it, along with a multiperiod binomial approximation of geometric Brownian motion, to obtain a simple derivation of the Black-Scholes call option formula. Simplified derivations are given for the delta hedging strategy, the partial derivatives of the Black-Scholes formula, and the nonarbitrage pricing of options both for securities that pay dividends and for those whose prices are subject to randomly occurring jumps. A new approach for estimating the volatility parameter of the geometric Brownian motion is also discussed. Later chapters treat risk-neutral (nonarbitrage) pricing of exotic options - both by Monte Carlo simulation and by multiperiod binomial approximation models for European and American style options"--$cProvided by publisher.
505 8 $aMachine generated contents note: 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.
650 0 $aInvestments$xMathematics.
650 0 $aStochastic analysis.
650 0 $aOptions (Finance)$xMathematical models.
650 0 $aSecurities$xPrices$xMathematical models.
856 42 $3Cover image$uhttp://assets.cambridge.org/97805211/92538/cover/9780521192538.jpg
856 42 $3Contributor biographical information$uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-b.html
856 42 $3Publisher description$uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-d.html
856 41 $3Table of contents only$uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-t.html