Discrete Models of Financial Markets
1st Edition
Published on 7. May 2012
192 pages
978-1-139-22760-5 (ISBN)
Description
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.
Reviews / Votes
'The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models.' Thomas S. Y. Ho, SIAM Review '... clearly written ... The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text.' George Matthews, Mathematics TodayMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
College/higher education
Illustrations
Worked examples or Exercises; 10 Line drawings, unspecified
File size
1435,94 MB
ISBN-13
978-1-139-22760-5 (9781139227605)
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
Discrete Models of Financial Markets
Book
02/2012
1st Edition
Cambridge University Press
€54.20
Shipment within 15-20 days
Marek Capinski | Ekkehard Kopp
Discrete Models of Financial Markets
Book
02/2012
1st Edition
Cambridge University Press
€66.50
Shipment within 15-20 days
Persons
Marek Capinski has published over 50 research papers and nine 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. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, 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 Cambridge University Press AIMS Library series. He has authored more than 50 research publications and five books.
Content
Preface; 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; Index.
