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Mastering Mathematical Finance Ser.: Discrete Models of Financial Markets by Marek Capiński and Ekkehard Kopp (2012, Trade Paperback)
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About this product
Product Identifiers
PublisherCambridge University Press
ISBN-100521175720
ISBN-139780521175722
eBay Product ID (ePID)113208809
Product Key Features
Number of Pages192 Pages
Publication NameDiscrete Models of Financial Markets
LanguageEnglish
SubjectInterest, Finance / General, Statistics
Publication Year2012
TypeTextbook
Subject AreaBusiness & Economics
AuthorMarek CapińSki, Ekkehard Kopp
SeriesMastering Mathematical Finance Ser.
FormatTrade Paperback
Dimensions
Item Height0.5 in
Item Weight10.9 Oz
Item Length8.9 in
Item Width6 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2011-049193
Dewey Edition23
Reviews'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
IllustratedYes
Dewey Decimal332.01/5111
Table Of ContentPreface; 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.
SynopsisThis book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. All proofs are written in a user-friendly, step-by-step manner and following a natural flow of thought. In this way the student learns how to tackle new problems., 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.
LC Classification NumberHG4515.2
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