Discrete Models of Financial Markets - Paperback
$81.09
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Discrete Models of Financial Markets - Paperback
$81.09
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by Marek Capiński (Author), Ekkehard Kopp (Author)
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.
Number of Pages: 192
Dimensions: 0.5 x 8.9 x 5.8 IN
Publication Date: February 23, 2012
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