Revised edition of: An introduction to mathematical finance. 1999.
Bibliography
Includes bibliographical references and index.
Contents
Probability -- Normal random variables -- Geometric Brownian motion -- Interest rates and present value analysis -- Pricing contracts via Arbitrage -- The Arbitrage Theorem -- The Black-Scholes formula -- Additional results on options -- Valuing by expected utility -- Optimization models -- Exotic options -- Beyond geometric Brownian motion models -- Autogressive models and mean reversion.