
The Black-Scholes Model
Cambridge University Press
Published on 13. September 2012
Book
Hardback
178 pages
978-1-107-00169-5 (ISBN)
Description
The Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
College/higher education
Professional and scholarly
Illustrations
Worked examples or Exercises; 3 Line drawings, unspecified
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 14 mm
Weight
420 gr
ISBN-13
978-1-107-00169-5 (9781107001695)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions

Marek Capinski | Ekkehard Kopp
The Black-Scholes Model
E-Book
09/2012
1st Edition
Cambridge University Press
€26.49
Available for download

Marek Capinski | Ekkehard Kopp
The Black-Scholes Model
Book
09/2012
1st Edition
Cambridge University Press
€54.10
Shipment within 15-20 days

Marek Capinski
Black-Scholes Model
E-Book
09/2012
Cambridge University Press
€21.99
Available for download
Persons
Marek Capinski has published over 50 research papers and eleven books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland, where he established a Master's programme in mathematical finance. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, UK, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998-2008) and the CUP AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.
Author
AGH University of Science and Technology, Krakow
University of Hull
Content
Preface; 1. Introduction; 2. Strategies and risk-neutral probability; 3. Option pricing and hedging; 4. Various extensions and applications; 5. Path-dependent options; 6. General models; Index.