| 000 | 02470nam a2200397 i 4500 | ||
|---|---|---|---|
| 001 | CR9781139051583 | ||
| 003 | UkCbUP | ||
| 005 | 20240906192734.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 141103s2012||||enk o ||1 0|eng|d | ||
| 020 | _a9781139051583 (ebook) | ||
| 020 | _z9781107002630 (hardback) | ||
| 020 | _z9780521175722 (paperback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
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| 050 | 0 | 0 |
_aHG106 _b.C357 2012 |
| 082 | 0 | 0 |
_a332.01/5111 _223 |
| 100 | 1 |
_aCapiński, Marek, _d1951- _eauthor. |
|
| 245 | 1 | 0 |
_aDiscrete models of financial markets / _cMarek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK. |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2012. |
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| 300 |
_a1 online resource (ix, 181 pages) : _bdigital, PDF file(s). |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 | _aMastering mathematical finance | |
| 500 | _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). | ||
| 505 | 0 | _a1. 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. | |
| 520 | _aThis 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. | ||
| 650 | 0 |
_aFinance _xMathematical models. |
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| 650 | 0 |
_aInterest rates _xMathematical models. |
|
| 700 | 1 |
_aKopp, P. E., _d1944- _eauthor. |
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| 776 | 0 | 8 |
_iPrint version: _z9781107002630 |
| 830 | 0 | _aMastering mathematical finance. | |
| 856 | 4 | 0 | _uhttps://doi.org/10.1017/CBO9781139051583 |
| 942 |
_2ddc _cEB |
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| 999 |
_c9359 _d9359 |
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