Introduction to Mathematical Finance (Second Edition)

Author: SheldonMRoss
Publisher:
Publish Date: 2004-02-01
Features: This book clearly and concisely explains arbitrage, the Black-Scholes option pricing formula, and utility functions. It also covers the principles of optimal asset portfolio, the Capital Asset Pricing Model, and other knowledge. This edition adds new content on financial optimization methods, Value at Risk (VaR), Conditional Value at Risk (CVaR), and a simplified derivation of the Black-Scholes equation. This unique book on option pricing has rigorous mathematical derivations and does not require readers to have knowledge of probability theory, making it easy for readers with general mathematical backgrounds to read. The book clearly and concisely explains arbitrage, the Black-Scholes option pricing formula, and utility functions. It also covers the principles of optimal asset portfolio, the Capital Asset Pricing Model, and other knowledge. The second edition of this book introduces many new features, including new content on financial optimization methods, Value at Risk (VaR), Conditional Value at Risk (CVaR), and a simplified derivation of the Black-Scholes equation. It also includes the derivation of the 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.