Customer Reviews

An Elementary Introduction to Mathematical Finance: Options and other Topics

5 star:		(4)
4 star:		(0)
3 star:		(2)
2 star:		(0)
1 star:		(2)

 

 

Sheldon M Ross in his book "An Elementary Introduction to Mathematical Finance" navigates the reader through at least 3 methods of option pricing. These include arbitrage, Black-Scholes and autoregressive models. I read the book twice to fully comprehend the authors perspective.
The problem with the book is that the author is unable to convert the mathematical rationale of pricing into words. For example, on page 136 in the context of estimating a population mean and variance he obtains a sample variance by formula but states:
"It is because we wanted the estimator to be unbiased that we changed its denominator from n to n-1"
A better explanation of the formula can be found on page 168 - 169 and of the null hypothesis on page 175 of "A Complete Guide to the Futures Market" by Jack D. Schwager.
Further, the author includes exercises at the end of each chapter but does not provide the answers and the answers cannot always be found in the preceding chapter. In other words the questions are not genuine revision questions.

i dont know what the other reviewers are talking about. quite possibly the worst book on mathematical finance i have read. the author has rushed through the proofs and its just poorly written imo.

This reference starts with the basics and builds to the main subjects introductory students would want to see, for example, the derivation of the Black-Scholes equation. This is a very good book to read first since the author explains his subject very clearly, and the book is self-contained.

Another good book from Dr. Sheldon Ross. Beginning with basic probability, discusses the concepts of options, Arbitrage, Black-Scholes equation, Geometric Brownian Motion, Utility values, Dynamic Programming etc in a very easy-to-understand manner. This is a very good book for an intro to financial engineering.

Does anybody know whether the book has a students' manual or solutions to the exercises of each chapter.

This is a pretty good book for whom doesn't have strong background in financial engeering. It begins from probability and I think this is a very good point to start. On the other hand, you also can know the where the formula comes from because the author use a small space to explain it. It is pretty funny!
One problem, this book doesnot cover all of the importnat topics such as Ito calculus but it is still a good book.

This is a pretty good book for whom doesn't have strong background in financial engeering. It begins from probability and I think this is a very good point to start. On the other hand, you also can know the where the formula comes from because the author use a small space to explain it. It is pretty funny!
One problem, this book doesnot cover all of the importnat topics such as Ito calculus but it is still a good book.

I was unfortunate to have taken Dr. Ross's graduate level class. He taught directly from his book which was not an elementary introduction to mathmatical finance. If you do not have a strong background in finance or math....buy another book.