Discrete Models of Financial Markets Paperback / softback
by Marek (AGH University of Science and Technology, Krakow) Capinski, Ekkehard (University of Hull) Kopp
Part of the Mastering Mathematical Finance series
Paperback / softback
Description
This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle.
Relatively elementary mathematics leads to powerful notions and techniques - such as viability, completeness, self-financing and replicating strategies, arbitrage and equivalent martingale measures - which are directly applicable in practice.
The general methods are applied in detail to pricing and hedging European and American options within the Cox-Ross-Rubinstein (CRR) binomial tree model.
A simple approach to discrete interest rate models is included, which, though elementary, has some novel features.
All proofs are written in a user-friendly manner, with each step carefully explained and following a natural flow of thought.
In this way the student learns how to tackle new problems.
Information
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Out of stock
- Format:Paperback / softback
- Pages:192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:23/02/2012
- Category:
- ISBN:9780521175722
Information
-
Out of stock
- Format:Paperback / softback
- Pages:192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:23/02/2012
- Category:
- ISBN:9780521175722