Mastering Mathematical Finance : Discrete Models of Financial Markets Paperback / softback
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.
- Format: Paperback / softback
- Pages: 192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
- Publisher: Cambridge University Press
- Publication Date: 23/02/2012
- Category: Econometrics
- ISBN: 9780521175722
- Hardback from £49.89