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discrete models of financial markets
Ekkehard Kopp
(Author)
·
Marek Capiński
(Author)
·
Cambridge University Press
· Paperback
discrete models of financial markets - Capiński, Marek ; Kopp, Ekkehard
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Origin: Spain
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Synopsis "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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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
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