Introduction to Mathematical Finance (Second Edition)

Author: (USA) Ross (Ross/S.M.) / Chen Dianfa et al
Publisher:
Publish Date: 2005-04-01
Features: This book comprehensively introduces the fundamental issues of mathematical finance. The mathematical derivations are rigorous, and the content is presented in an accessible manner, making it suitable for readers with general mathematical backgrounds. The book clearly and concisely explains concepts such as arbitrage, the Black-Scholes option pricing formula, utility functions, the optimal asset portfolio principle, and the Capital Asset Pricing Model (CAPM). The second edition of this book introduces many new features, including additional content on financial optimization methods, Value at Risk (VaR) systems and conditional VaR systems, a simplified derivation of the Black-Scholes equation, the derivation of partial derivatives of the Black-Scholes option cost function, computational methods for the Black-Scholes formula, three European call option models with dividends, and a new simple and practical method for estimating volatility parameters. The book clearly and concisely explains the fundamental issues of mathematical finance, primarily covering arbitrage, the Black-Scholes option pricing formula, utility functions, the optimal asset portfolio principle, and the Capital Asset Pricing Model. It systematically presents the economic context of the issues discussed, the mathematical methods used to solve them, and the underlying principles to readers. The book is well-chosen in content and well-structured, making it suitable as a textbook for university students (including finance majors and applied mathematics majors) as well as for professionals working in the financial industry.