Description
Book SynopsisThis 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. This third edition includes three new chapters, along with expanded sets of exercises and references for all the chapters.
Trade Review'… 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.' ISI Short Book Reviews
'… 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.' The Statistician
'… an excellent introduction to the mathematics of finance … very useful as a text for an introductory course.' Zentralblatt Math
'… 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
Table of Contents1. 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.
