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An elementary introduction to mathematical finance 3rd ed

An elementary introduction to mathematical finance 3rd ed (4회 대출)

자료유형
단행본
개인저자
Ross, Sheldon M. (Sheldon Mark), 1943-.
서명 / 저자사항
An elementary introduction to mathematical finance / Sheldon M. Ross.
판사항
3rd ed.
발행사항
New York :   Cambridge University Press,   c2011.  
형태사항
xv, 305 p. : ill. ; 24 cm.
ISBN
9780521192538 0521192536
요약
"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"--
내용주기
Machine 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.
서지주기
Includes bibliographical references and index.
일반주제명
Investments --Mathematics. Stochastic analysis. Options (Finance) --Mathematical models. Securities --Prices --Mathematical models.
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100 1 ▼a Ross, Sheldon M. ▼q (Sheldon Mark), ▼d 1943-.
245 1 3 ▼a An elementary introduction to mathematical finance / ▼c Sheldon M. Ross.
250 ▼a 3rd ed.
260 ▼a New York : ▼b Cambridge University Press, ▼c c2011.
300 ▼a xv, 305 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
505 8 ▼a Machine 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.
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"-- ▼c Provided 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"-- ▼c Provided by publisher.
650 0 ▼a Investments ▼x Mathematics.
650 0 ▼a Stochastic analysis.
650 0 ▼a Options (Finance) ▼x Mathematical models.
650 0 ▼a Securities ▼x Prices ▼x Mathematical models.
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.60151 R826i3 등록번호 111650038 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 2 소장처 중앙도서관/서고6층/ 청구기호 332.60151 R826i3 등록번호 511030435 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

저자소개

Sheldon M. Ross(지은이)

정보제공 : Aladin

목차

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.


정보제공 : Aladin

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