TY  - BOOK
AU  - Capiński,Marek
AU  - Kopp,Ekkehard
TI  - Discrete Models of Financial Markets
T2  - Mastering Mathematical Finance
SN  - 9781139051583 (ebook)
AV  - HG106 .C357 2012
U1  - 332.01/5111 23
PY  - 2012///
CY  - Cambridge
PB  - Cambridge University Press
N1  - Title from publisher's bibliographic system (viewed on 04 Apr 2016)
N2  - 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
UR  - http://dx.doi.org/10.1017/CBO9781139051583
ER  -