Discrete Models of Financial Markets (eBook)

Marek Capinski, Ekkehard Kopp (Autoren)

eBook Download: PDF

2012
192 Seiten
Cambridge University Press (Verlag)
978-1-139-22760-5 (ISBN)

Infos

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.

Produkt-Details

• Erscheint lt. Verlag: 7.5.2012
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 1-139-22760-2 / 1139227602
• ISBN-13: 978-1-139-22760-5 / 9781139227605