Marek Capinski

Discrete Models of Financial Markets (eBook, PDF)

• Format: PDF

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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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 23. Februar 2012
• Englisch
• ISBN-13: 9781139227605
• Artikelnr.: 38279862

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.

Inhaltsangabe

Preface
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
Index.