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Item Details
| Title:
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DISCRETE MODELS OF FINANCIAL MARKETS
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| By: |
Marek Capinski, Ekkehard Kopp |
| Format: |
Electronic book text |
| List price:
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£162.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
113905158X |
| ISBN 13: |
9781139051583 |
| Publisher: |
CAMBRIDGE UNIVERSITY PRESS |
| Pub. date: |
5 June, 2012 |
| Series: |
Mastering Mathematical Finance |
| Description: |
An excellent basis for further study. Suitable even for readers with no mathematical background. |
| Synopsis: |
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. |
| Illustrations: |
10 b/w illus. 95 exercises |
| Publication: |
UK |
| Imprint: |
Cambridge University Press (Virtual Publishing) |
| Returns: |
Non-returnable |
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