Discrete Models of Financial Markets
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- Hardcover ausgewählt
- Taschenbuch
- eBook
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Sprache:Englisch
Fr. 89.90
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Gebundene Ausgabe
Erscheinungsdatum
23.02.2012
Abbildungen
10 b/w illus. 95 exercises, Zeichnungen, nicht spezifiziert, Worked examples or Exercises
Verlag
Cambridge University PressSeitenzahl
192
Maße (L/B/H)
23.5/15.7/1.5 cm
Gewicht
437 g
Sprache
Englisch
ISBN
978-1-107-00263-0
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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