Mastering Mathematical Finance : Discrete Models of Financial Markets, Hardback Book

Mastering Mathematical Finance : Discrete Models of Financial Markets 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

  • Format: Hardback
  • Pages: 192 pages, Worked examples or Exercises; 10 Line drawings, unspecified
  • Publisher: Cambridge University Press
  • Publication Date:
  • Category: Econometrics
  • ISBN: 9781107002630

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