DISCRETE MODELS OF FINANCIAL MARKETS

CAPIŃSKI M. KOPP E.

wydawnictwo: CAMBRIDGE , rok wydania 2012, wydanie I

cena netto: ~~169.40~~ Twoja cena 160,93 zł + 5% vat - dodaj do koszyka

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.

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.

192 pages, Paperback

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.

Wszelkie prawa zastrzeżone PROPRESS sp. z o.o. 2012-2022