Cart

Unlocking potential with the best learning and research solutions

Look Inside The Black–Scholes Model

The Black–Scholes Model

$46.99 (P)

Part of Mastering Mathematical Finance

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

Date Published: November 2012
availability: Available
format: Paperback
isbn: 9780521173001

Rate & review

$ 46.99 (P)
Paperback

Add to cart Add to wishlist

Other available formats:
Hardback, eBook

Looking for an examination copy?

This title is not currently available for examination. However, if you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact [email protected] providing details of the course you are teaching.

Description

Contents

Resources

Courses

About the Authors

The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
- Equips students with the tools needed to price the main options in current markets
- Detailed proofs are presented in manageable steps so students can 'see the wood for the trees'
- Exercises range in difficulty to challenge even the most able student. Solutions are available online
Read more
Customer reviews

Not yet reviewed
Be the first to review

Log in to review

Review was not posted due to profanity
×

, create a review

(If you're not , sign out)

Please enter the right captcha value

Please enter a star rating.

Your review must be a minimum of 12 words.

How do you rate this item?

Reviews must contain at least 12 words about the product.

×

Product details
- Date Published: November 2012
- format: Paperback
- isbn: 9780521173001
- length: 178 pages
- dimensions: 228 x 152 x 12 mm
- weight: 0.3kg
- contains: 3 b/w illus. 60 exercises
- availability: Available
Table of Contents
Preface
1. Introduction
2. Strategies and risk-neutral probability
3. Option pricing and hedging
4. Various extensions and applications
5. Path-dependent options
6. General models
Index.
Look Inside

General Resources

Resources

Find resources associated with this title

Back to resources home

Type	Name	Unlocked *	Format	Size

Showing of

This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to instructors whose faculty status has been verified. To gain access to locked resources, instructors should sign in to or register for a Cambridge user account.

Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other instructors may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

Supplementary resources are subject to copyright. Instructors are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

If you are having problems accessing these resources please contact [email protected].

Authors
Marek Capiński, AGH University of Science and Technology, Krakow
Marek Capiński has published over 50 research papers and eleven 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 Kraków, Poland, where he established a Master's programme in mathematical finance.
Ekkehard Kopp, University of Hull
Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, UK, 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 CUP AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.