Discrete Models of Financial Markets

Marek Capi¿ski (u. a.)

ISBN 10: 0521175720 / ISBN 13: 9780521175722

Published by Cambridge University Press, 2012

About this Item

Discrete Models of Financial Markets | Marek Capi¿ski (u. a.) | Taschenbuch | Kartoniert / Broschiert | Englisch | 2012 | Cambridge University Press | EAN 9780521175722 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.

Seller Inventory # 106675894

Bibliographic Details

• Title: Discrete Models of Financial Markets
• Publisher: Cambridge University Press
• Publication Date: 2012
• Language: English
• ISBN 10: 0521175720
• ISBN 13: 9780521175722
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 229W x 152H x 11D millimeters 229 millimeters width by 152 millimeters height by 11 millimeters depth
• Weight: 287 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

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.

About the Authors

Marek Capiński has published over 50 research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow.

Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library series. He has authored more than 50 research publications and five books.