Discrete models of financial markets / Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK.

Format:

Book

Author/Creator:

Capiński, Marek, 1951- author.

Kopp, P. E., 1944- author.

Series:

Mastering mathematical finance.

Mastering mathematical finance

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Interest rates--Mathematical models.

Interest rates.

Physical Description:

1 online resource (ix, 181 pages) : digital, PDF file(s).

Place of Publication:

Cambridge : Cambridge University Press, 2012.

Language Note:

English

Summary:

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.

Contents:

1. Introduction

2. Single-step asset pricing models

3. Multi-step binomial model

4. Multi-step general models

5. American options

6. Modelling bonds and interest rates.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

ISBN:

1-107-22676-7

1-139-22760-2

1-280-39338-6

1-139-23280-0

9786613571304

1-139-05158-X

1-139-23058-1

1-139-22913-3

1-139-23358-0

1-139-23204-5

OCLC:

793510842