An Introduction to Mathematical Finance：Options and Other Topics

ThismathematicallyelementaryintroductiontothetheoryofoptionspricingpresentstheBlack-Scholestheoryofoptionsaswellasintroducingsuchtopicsinfinanceasthetimevalueofmoney,meanvarianceanalysis,optimalportfolioselection,andthecapitalassetspricingmodel.Theauthorassumesnopriorknowledgeofprobabilityandpresentsallthenecessarypreliminarymaterialsimplyandclearly.Heexplainstheconceptofarbitragewithexamples,andthenusesthearbitragetheorem,alongwithanapproximationofgeometricBrownianmotion,toobtainasimplederivationoftheBlack-Scholesformula.Inthelaterchaptershepresentsrealpricedataindicatingthatthismodelisnotalwaysappropriateandshowshowthemodelcanbegeneralizedtodealwithsuchsituations.Noothertextpresentssuchtopicsinamathematicallyaccuratebutaccessibleway.Itwillappealtoprofessionaltradersaswellasundergraduatesstudyingthebasicsoffinance.