An Elementary Introduction to Mathematical Finance

Options and other Topics

Sheldon M. Ross

270 pages, parution le 14/01/2003 (2^eme édition)

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Résumé

This unique book on the basics of option pricing 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. The author assumes no prior knowledge of probability, and 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 second edition are: a new chapter on optimization methods in finance; a new section on Value at Risk and Conditional Value at Risk; a new and simplified derivation of the Black-Scholes equation, together with derivations of the partial derivatives of the Black-Scholes option cost function and of the computational Black-Scholes formula; three different models of European call options with dividends; a new, easily implemented method for estimating the volatility parameter.

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. Valuing by expected utility
9. Exotic options
10. Beyond geometric Brownian motion models
11. Autoregressive models and mean reversion
12. Optimization methods in finance.

L'auteur - Sheldon M. Ross

Après avoir terminé des études à l'Université de Stanford, Sheldon M. Ross fut nommé en 1968 professeur au département de Génie Industriel et Recherche Opérationnelle de l'Université de Californie à Berkeley. Il est l'auteur de nombreux articles et de plusieurs livres consacrés au domaine des probabilités, parmi lesquels Applied Probability Models with Optimization Application, Introduction to Probability Models, Introduction to Probability & Statistics for Engineers & Scientists, et Stochastic Processes outre le présent titre. Il est aussi éditeur de Probability in the Engineering and Informational Sciences (Cambridge).

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Sheldon M. Ross
Parution	14/01/2003
Édition	2^eme édition
Nb. de pages	270
Format	15,5 x 23,5
Couverture	Broché
Poids	520g
Intérieur	Noir et Blanc
EAN13	9780521814294
ISBN13	978-0-521-81429-4