The Resource Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book)
Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book)
Resource Information
The item Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
 Summary
 This is a short book on the fundamental concepts of the noarbitrage theory of pricing financial derivatives. Its scope is limited to the general discrete setting of models for which the set of possible states is finite and so is the set of possible trading times  this includes the popular binomial tree model. This setting has the advantage of being fairly general while not requiring a sophisticated understanding of analysis at the graduate level. Topics include understanding the several variants of "arbitrage", the fundamental theorems of asset pricing in terms of martingale measures, and applications to forwards and futures. The authors' motivation is to present the material in a way that clarifies as much as possible why the often confusing basic facts are true. Therefore the ideas are organized from a mathematical point of view with the emphasis on understanding exactly what is under the hood and how it works. Every effort is made to include complete explanations and proofs, and the reader is encouraged to work through the exercises throughout the book. The intended audience is students and other readers who have an undergraduate background in mathematics, including exposure to linear algebra, some advanced calculus, and basic probability. The book has been used in earlier forms with students in the MS program in Financial Mathematics at Florida State University, and is a suitable text for students at that level. Students who seek a second look at these topics may also find this book useful
 Language
 eng
 Extent
 1 electronic text (xi, 51 p.)
 Contents

 Preface 
 1. Overture: singleperiod models  What is a model  Warmup: a forward contract  A single time period  The pricing formula  Risky bond  General case of one time step 
 2. The general discrete model  The tree  The stock process  Trading strategies and attainable claims  Arbitrage 
 3. The fundamental theorems of asset pricing 
 4. Forwards and futures  Forwards and the forward measure  Futures  The convexity correction  Computational matters 
 5. Incomplete markets 
 A. Probability refreshner  Before probability  Probability introduced; independence  Conditional expectation, the finite case  Change of measure; the RadonNikodym derivative  Martingales 
 B. Orthogonal vectors in the positive cone  Authors' biographies
 Isbn
 9781608454969
 Label
 Lectures on financial mathematics : discrete asset pricing
 Title
 Lectures on financial mathematics
 Title remainder
 discrete asset pricing
 Statement of responsibility
 Greg Anderson, Alec N. Kercheval
 Language
 eng
 Summary
 This is a short book on the fundamental concepts of the noarbitrage theory of pricing financial derivatives. Its scope is limited to the general discrete setting of models for which the set of possible states is finite and so is the set of possible trading times  this includes the popular binomial tree model. This setting has the advantage of being fairly general while not requiring a sophisticated understanding of analysis at the graduate level. Topics include understanding the several variants of "arbitrage", the fundamental theorems of asset pricing in terms of martingale measures, and applications to forwards and futures. The authors' motivation is to present the material in a way that clarifies as much as possible why the often confusing basic facts are true. Therefore the ideas are organized from a mathematical point of view with the emphasis on understanding exactly what is under the hood and how it works. Every effort is made to include complete explanations and proofs, and the reader is encouraged to work through the exercises throughout the book. The intended audience is students and other readers who have an undergraduate background in mathematics, including exposure to linear algebra, some advanced calculus, and basic probability. The book has been used in earlier forms with students in the MS program in Financial Mathematics at Florida State University, and is a suitable text for students at that level. Students who seek a second look at these topics may also find this book useful
 Cataloging source
 CaBNvSL
 http://library.link/vocab/creatorName
 Anderson, Greg
 Index
 no index present
 Literary form
 non fiction
 Nature of contents
 dictionaries
 http://library.link/vocab/relatedWorkOrContributorName
 Kercheval, Alec N.
 http://library.link/vocab/subjectName
 Derivative securities
 Target audience
 adult
 Label
 Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book)
 Antecedent source
 file reproduced from original
 Bibliography note
 Includes bibliographical references (p. 4950)
 Color
 multicolored
 Contents

 Preface 
 1. Overture: singleperiod models  What is a model  Warmup: a forward contract  A single time period  The pricing formula  Risky bond  General case of one time step 
 2. The general discrete model  The tree  The stock process  Trading strategies and attainable claims  Arbitrage 
 3. The fundamental theorems of asset pricing 
 4. Forwards and futures  Forwards and the forward measure  Futures  The convexity correction  Computational matters 
 5. Incomplete markets 
 A. Probability refreshner  Before probability  Probability introduced; independence  Conditional expectation, the finite case  Change of measure; the RadonNikodym derivative  Martingales 
 B. Orthogonal vectors in the positive cone  Authors' biographies
 Dimensions
 unknown
 Extent
 1 electronic text (xi, 51 p.)
 File format
 multiple file formats
 Form of item
 electronic
 Isbn
 9781608454969
 Level of compression
 unknown
 Other physical details
 digital file. ;
 Quality assurance targets
 unknown
 Reformatting quality
 access
 Specific material designation
 remote
 System details
 System requirements: Adobe Acrobat Reader
 Label
 Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book)
 Antecedent source
 file reproduced from original
 Bibliography note
 Includes bibliographical references (p. 4950)
 Color
 multicolored
 Contents

 Preface 
 1. Overture: singleperiod models  What is a model  Warmup: a forward contract  A single time period  The pricing formula  Risky bond  General case of one time step 
 2. The general discrete model  The tree  The stock process  Trading strategies and attainable claims  Arbitrage 
 3. The fundamental theorems of asset pricing 
 4. Forwards and futures  Forwards and the forward measure  Futures  The convexity correction  Computational matters 
 5. Incomplete markets 
 A. Probability refreshner  Before probability  Probability introduced; independence  Conditional expectation, the finite case  Change of measure; the RadonNikodym derivative  Martingales 
 B. Orthogonal vectors in the positive cone  Authors' biographies
 Dimensions
 unknown
 Extent
 1 electronic text (xi, 51 p.)
 File format
 multiple file formats
 Form of item
 electronic
 Isbn
 9781608454969
 Level of compression
 unknown
 Other physical details
 digital file. ;
 Quality assurance targets
 unknown
 Reformatting quality
 access
 Specific material designation
 remote
 System details
 System requirements: Adobe Acrobat Reader
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Lecturesonfinancialmathematicsdiscrete/PxQe_ZHYMCQ/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Lecturesonfinancialmathematicsdiscrete/PxQe_ZHYMCQ/">Lectures on financial mathematics : discrete asset pricing, Greg Anderson, Alec N. Kercheval, (electronic book)</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>