An Introduction to Mathematical Finance
Options and Other Topics
Published on 28. August 1999
Book
Hardback
200 pages
978-0-521-77043-9 (ISBN)
Description
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.
Reviews / Votes
'... 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 WiskundeMore details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
College/higher education
Illustrations
15 Tables, unspecified; 22 Line drawings, unspecified
Dimensions
Height: 236 mm
Width: 160 mm
Thickness: 17 mm
Weight
425 gr
ISBN-13
978-0-521-77043-9 (9780521770439)
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Schweitzer Classification
Other editions
New editions
Book
11/2002
2nd Edition
Cambridge University Press
€44.57
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Person
Content
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.