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Book synopsis

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.

Book details

Book category Books in English Mathematics & science Mathematics Applied mathematics

• Full title: Discrete Models of Financial Markets
• Author: Marek CapińskiEkkehard Kopp
• Language: English
• Binding: Hardback
• Number of pages: 192
• EAN: 9781107002630
• ISBN: 110700263X
• ID: 02050424
• Publisher: Cambridge University Press
• Weight: 430 g
• Dimensions: 235 × 155 × 15 mm
• Date of publishing: 23. February 2012

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