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

By: Contributor(s): Material type: TextSeries: Mastering mathematical financePublisher: Cambridge : Cambridge University Press, 2012Description: 1 online resource (ix, 181 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781139051583 (ebook)
Subject(s): Additional physical formats: Print version: : No titleDDC classification:
  • 332.01/5111 23
LOC classification:
  • HG106 .C357 2012
Online resources:
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.
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.
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Item type Current library Collection Status Barcode
eBooks Central Library Statistics & Probability Available EB0328

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

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.

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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