Format:
1 Online-Ressource (ix, 181 pages)
,
digital, PDF file(s)
ISBN:
9781139051583
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
Content:
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
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Additional Edition:
ISBN 9781107002630
Additional Edition:
ISBN 9780521175722
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 9781107002630
Language:
English
DOI:
10.1017/CBO9781139051583
URL:
Volltext
(lizenzpflichtig)
