Discrete Models of Financial Markets - Capinski, Marek; Kopp, Ekkehard
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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…mehr

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Produktbeschreibung
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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Autorenporträt
Marek Capi¿ski has published over 50 research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow.
Rezensionen
'The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models.' Thomas S. Y. Ho, SIAM Review