000			04351cam a22003854i 4500
001			vtls000098727
003			VRT
005			20250102225219.0
008			130915t20112011nyua |b 001 0 eng
020			_a9780521192538
020			_a0521192536
039		9	_a202407111253 _balawaid _c201402040237 _dVLOAD _y201309150923 _zmalmash
050	0	0	_aHG4515.3 _b.R67 2011
100	1		_aRoss, Sheldon M. _q(Sheldon Mark), _d1943- _954380
245	1	3	_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.
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.
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.
650		0	_aInvestments _xMathematics. _954381
650		0	_aStochastic analysis. _919843
650		0	_aOptions (Finance) _xMathematical models. _954382
650		0	_aSecurities _xPrices _xMathematical models. _954383
856	4	2	_3Cover image _uhttp://assets.cambridge.org/97805211/92538/cover/9780521192538.jpg
856	4	2	_3Contributor biographical information _uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-b.html
856	4	2	_3Publisher description _uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-d.html
856	4	1	_3Table of contents only _uhttp://catdir.loc.gov/catdir/enhancements/fy1102/2010049863-t.html
942			_2lcc _n0 _cBK
999			_c26283 _d26283