Coverart for item
The Resource Discrete models of financial markets, Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK

Discrete models of financial markets, Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK

Label
Discrete models of financial markets
Title
Discrete models of financial markets
Statement of responsibility
Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
UkCbUP
http://library.link/vocab/creatorDate
1951-
http://library.link/vocab/creatorName
Capiński, Marek
Dewey number
332.01/5111
Index
index present
LC call number
HG106
LC item number
.C357 2012
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorDate
1944-
http://library.link/vocab/relatedWorkOrContributorName
Kopp, P. E.
Series statement
Mastering mathematical finance
http://library.link/vocab/subjectName
  • Finance
  • Interest rates
Label
Discrete models of financial markets, Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK
Instantiates
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
CR9781139051583
Extent
1 online resource (ix, 181 pages)
Form of item
online
Isbn
9781139051583
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
Label
Discrete models of financial markets, Marek Capiński, AGH University of Science and Technology, Kraków, Poland, Ekkehard Kopp, University of Hull, Hull, UK
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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
Control code
CR9781139051583
Extent
1 online resource (ix, 181 pages)
Form of item
online
Isbn
9781139051583
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote

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