ENGLISH

Discrete Models of Financial Markets

By Marek Capinski , Ekkehard Kopp

Book information

Publisher
Cambridge University Press
Year
2012
ISBN
110700263X, 9781107002630, 9780521175722
Language
english
Format
PDF
Filesize
811 kB (830603 bytes)
Series
Mastering Mathematical Finance
Pages
192\194
Topic
Economy
Scanned
yes
Time added
2014-05-12 22:54:42
Финансово-экономические дисциплины;Финансовая мате

Description

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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