Discrete Models of Financial Markets (BOK)

Marek Capinski, Ekkehard Kopp

339,00 33900
Sendes vanligvis innen 5-15 dager
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.

Produktfakta

Språk Engelsk Engelsk Innbinding Heftet
Utgitt 2012 Forfatter Ekkehard Kopp, Marek Capinski
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9780521175722
Antall sider 192 Dimensjoner 15,2cm x 22,8cm x 1,2cm
Vekt 310 gram Leverandør Bertram Trading Ltd
Emner og form Econometrics, Mathematical modelling