Discrete Models of Financial Markets Hardback
by Marek (AGH University of Science and Technology, Krakow) Capinski, Ekkehard (University of Hull) Kopp
Part of the Mastering Mathematical Finance series
Hardback
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
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:23/02/2012
- Category:
- ISBN:9781107002630
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:23/02/2012
- Category:
- ISBN:9781107002630
