Derivative Pricing in Discrete Time

Language: English

Published by Springer London, 2012

1447144074 / 9781447144076

Series: Book 25 of 90 - Springer Undergraduate Mathematics

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative.To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. Theemphasis throughout is on clarity combined with full rigour.The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.

Seller Inventory # 9781447144076

Title
Derivative Pricing in Discrete Time
Author
Alet Roux
Publisher
Springer London
Publication year
2012
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
1447144074
ISBN 13
9781447144076
Item weight
522 grams
Dimensions
235x155x19 mm
Series
Book 25 of 90: Springer Undergraduate Mathematics

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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