Discrete Models of Financial Markets
Book Details
Format
Paperback / Softback
Book Series
Mastering Mathematical Finance
ISBN-10
0521175720
ISBN-13
9780521175722
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Feb 23rd, 2012
Print length
192 Pages
Weight
318 grams
Dimensions
22.70 x 15.40 x 1.20 cms
Product Classification:
EconometricsMathematical modelling
Ksh 6,850.00
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This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. All proofs are written in a user-friendly, step-by-step manner and following a natural flow of thought. In this way the student learns how to tackle new problems.
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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