Discrete Models of Financial Markets
Capinski, Marek
| Autor: | Capinski, Marek |
|---|---|
| Veröffentlichungsdatum: | 23.02.2012 |
| EAN: | 9781107002630 |
| Sprache: | Englisch |
| Seitenzahl: | 192 |
| Produktart: | Gebunden |
| Verlag: | Cambridge University Press |
Produktinformationen "Discrete Models of Financial Markets"
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.
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