Discrete Models of Financial Markets (Mastering Mathematical Finance)

Science & Math | Mathematics
Discrete Models of Financial Markets (Mastering Mathematical Finance)
Title:
Discrete Models of Financial Markets (Mastering Mathematical Finance)
Author:
-
ISBN:
110700263X
ISBN13:
978-1107002630
Size PDF:
1773 kb
Size epub:
1678 kb
Publisher:
Cambridge University Press; 1 edition (March 26, 2012)
Language:
English
Other formats:
pdf, odf, mobi, cb7, azw, lit, ibooks
Rating:
4.6
Votes:
288
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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