Discrete Models of Financial Markets /
Capiński, Marek,
Discrete Models of Financial Markets / Marek Capiński, Ekkehard Kopp. - 1 online resource (192 pages) : digital, PDF file(s). - Mastering Mathematical Finance . - Mastering Mathematical Finance. .
Title from publisher's bibliographic system (viewed on 04 Apr 2016).
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.
9781139051583 (ebook)
HG106 / .C357 2012
332.01/5111
Discrete Models of Financial Markets / Marek Capiński, Ekkehard Kopp. - 1 online resource (192 pages) : digital, PDF file(s). - Mastering Mathematical Finance . - Mastering Mathematical Finance. .
Title from publisher's bibliographic system (viewed on 04 Apr 2016).
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.
9781139051583 (ebook)
HG106 / .C357 2012
332.01/5111