000			04001cam a22003734i 4500
001			16553157
003			APU
005			20150618104602.0
008			101124t20112011nyua b 001 0 eng
010			_a 2010049863
020			_a9780521192538 (hbk.)
020			_a0521192536 (hbk.)
035			_a(OCoLC)ocn688644637
040			_aDLC _cAPU _erda _dNEDA _dSM _beng
042			_apcc
050	0	0	_aHG4515.3 _b.R67 2011
082	0	0	_a332.60151 _222 _bROS 2011
100	1		_aRoss, Sheldon M. _q(Sheldon Mark), _d1943- _916341
245	1	3	_aAn elementary introduction to mathematical finance / _cSheldon M. Ross.
250			_a3rd ed.
260			_aNew York : _bCambridge University Press, _cc2011.
300			_axv, 305 pages : _bill. ; _c24 cm.
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"--
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"--
650		0	_aInvestments _xMathematics. _916342
650		0	_aStochastic analysis. _93872
650		0	_aOptions (Finance) _xMathematical models. _915643
650		0	_aSecurities _xPrices _xMathematical models. _915638
906			_a7 _bcbc _corignew _d1 _eecip _f20 _gy-gencatlg
942			_2lcc _cBook
999			_c8647 _d8647