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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)

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
Creator
Contributor
Subject
Language
eng
Summary
This is a short book on the fundamental concepts of the no-arbitrage 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
Member of
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)
Instantiates
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (p. 49-50)
Color
multicolored
Contents
  • Preface --
  • 1. Overture: single-period models -- What is a model -- Warm-up: 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 Radon-Nikodym 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)
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (p. 49-50)
Color
multicolored
Contents
  • Preface --
  • 1. Overture: single-period models -- What is a model -- Warm-up: 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 Radon-Nikodym 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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