Umfang:
IX, 181 S. :
,
graph. Darst.
Ausgabe:
1. publ.
ISBN:
978-1-107-00263-0
,
978-0-521-17572-2
Serie:
Mastering mathematical finance
Anmerkung:
"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"-- Provided by publisher. -- "This volume introduces simple mathematical models of financial markets, focussing on the problems of pricing and hedging risky financial instruments whose price evolution depends on the prices of other risky assets, such as stocks or commodities. Over the past four decades trading in these derivative securities (so named since their value derives from those of other, underlying, assets) has expanded enormously, not least as a result of the availability of mathematical models that provide initial pricing benchmarks. The markets in these financial instruments have provided investors with a much wider choice of investment vehicles, often tailor-made to specific investment objectives, and have led to greatly enhanced liquidity in asset markets. At the same time, the proliferation of ever more complex derivatives has led to increased market volatility resulting from the search for ever-higher short-term returns, while the sheer speed of expansion has made investment banking a highly specialised business, imperfe. - Includes bibliographical references and index
Sprache:
Englisch
Fachgebiete:
Wirtschaftswissenschaften
,
Mathematik
Schlagwort(e):
Finanzmathematik
URL:
Contributor biographical information
URL:
Publisher description
URL:
Table of contents only
URL:
http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024953017&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
URL:
Contributor biographical information
URL:
Publisher description
URL:
Table of contents only
Mehr zum Autor:
Capiński, Marek, 1951-
Mehr zum Autor:
Kopp, Peter E., 1944-
