UID:
edocfu_9959245783902883
Format:
1 online resource (ix, 181 pages) :
,
digital, PDF file(s).
ISBN:
1-107-22676-7
,
1-139-22760-2
,
1-280-39338-6
,
1-139-23280-0
,
9786613571304
,
1-139-05158-X
,
1-139-23058-1
,
1-139-22913-3
,
1-139-23358-0
,
1-139-23204-5
Series Statement:
Mastering mathematical finance
Content:
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.
Note:
Includes index.
,
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.
,
English
Additional Edition:
ISBN 0-521-17572-0
Additional Edition:
ISBN 1-107-00263-X
Language:
English
