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Look Inside Discrete Models of Financial Markets

Discrete Models of Financial Markets

Part of Mastering Mathematical Finance

Authors:
Marek Capiński, AGH University of Science and Technology, Krakow
Ekkehard Kopp, University of Hull

Date Published: February 2012
availability: Temporarily unavailable - available from TBC
format: Paperback
isbn: 9780521175722

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About the Authors

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.
- Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
- The mathematics is rigorous but also motivated, so readers see how to apply what they learn
- Clear, concise and short, so readers can master the whole topic
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Reviews & endorsements
'The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models.' Thomas S. Y. Ho, SIAM Review
'… clearly written … The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text.' George Matthews, Mathematics Today
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Product details
- Date Published: February 2012
- format: Paperback
- isbn: 9780521175722
- length: 192 pages
- dimensions: 227 x 152 x 12 mm
- weight: 0.31kg
- contains: 10 b/w illus. 95 exercises
- availability: Temporarily unavailable - available from TBC
Table of Contents
Preface
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
Index.
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Instructors have used or reviewed this title for the following courses
- Advanced Financial Management
- Applied Analytical Methods in Finance
Authors
Marek Capiński, AGH University of Science and Technology, Krakow
Marek Capiński has published over 50 research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow.
Ekkehard Kopp, University of Hull
Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library series. He has authored more than 50 research publications and five books.