Mathematics for finance: an introduction to financial engineering
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Springer
2003
|
| Series: | Springer undergraduate mathematics series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 303 - 304 |
| Physical Description: | X, 310 S. graph. Darst. |
| ISBN: | 1852333308 |
Staff View
MARC
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| 100 | 1 | |a Capiński, Marek |d 1951- |e Verfasser |0 (DE-588)172897866 |4 aut | |
| 245 | 1 | 0 | |a Mathematics for finance |b an introduction to financial engineering |c Marek Capiński and Tomasz Zastawniak |
| 264 | 1 | |a London [u.a.] |b Springer |c 2003 | |
| 300 | |a X, 310 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Springer undergraduate mathematics series | |
| 500 | |a Literaturverz. S. 303 - 304 | ||
| 650 | 4 | |a Finanzmarkt / Portfolio-Management / Mathematische Ökonomie / Theorie | |
| 650 | 4 | |a Finanzmathematik - Lehrbuch | |
| 650 | 4 | |a Mathematik | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance -- Mathematical models | |
| 650 | 4 | |a Investments -- Mathematics | |
| 650 | 4 | |a Business mathematics | |
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Record in the Search Index
| _version_ | 1808044696752095232 |
|---|---|
| adam_text |
CONTENTS
1.
INTRODUCTION:
A
SIMPLE
MARKET
MODEL
.
1
1.1
BASIC
NOTIONS
AND
ASSUMPTIONS
.
1
1.2
NO-ARBITRAGE
PRINCIPLE
.
5
1.3
ONE-STEP
BINOMIAL
MODEL
.
7
1.4
RISK
AND
RETURN
.
9
1.5
FORWARD
CONTRACTS
.
11
1.6
CALL
AND
PUT
OPTIONS
.
13
1.7
MANAGING
RISK
WITH
OPTIONS
.
19
2.
RISK-FREE
ASSETS
.
21
2.1
TIME
VALUE
OF
MONEY
.
21
2.1.1
SIMPLE
INTEREST
.
22
2.1.2
PERIODIC
COMPOUNDING
.
24
2.1.3
STREAMS
OF
PAYMENTS
.
29
2.1.4
CONTINUOUS
COMPOUNDING
.
32
2.1.5
HOW
TO
COMPARE
COMPOUNDING
METHODS
.
35
2.2
MONEY
MARKET
.
39
2.2.1
ZERO-COUPON
BONDS
.
39
2.2.2
COUPON
BONDS
.
41
2.2.3
MONEY
MARKET
ACCOUNT
.
43
3.
RISKY
ASSETS
.
47
3.1
DYNAMICS
OF
STOCK
PRICES
.
47
3.1.1
RETURN
.
49
3.1.2
EXPECTED
RETURN
.
53
3.2
BINOMIAL
TREE
MODEL
.
55
VIII
CONTENTS
3.2.1
RISK-NEUTRAL
PROBABILITY
.
58
3.2.2
MARTINGALE
PROPERTY
.
61
3.3
OTHER
MODELS
.
63
3.3.1
TRINOMIAL
TREE
MODEL
.
64
3.3.2
CONTINUOUS-TIME
LIMIT
.
66
4.
DISCRETE
TIME
MARKET
MODELS
.
73
4.1
STOCK
AND
MONEY
MARKET
MODELS
.
73
4.1.1
INVESTMENT
STRATEGIES
.
75
4.1.2
THE
PRINCIPLE
OF
NO
ARBITRAGE
.
79
4.1.3
APPLICATION
TO
THE
BINOMIAL
TREE
MODEL
.
81
4.1.4
FUNDAMENTAL
THEOREM
OF
ASSET
PRICING
.
83
4.2
EXTENDED
MODELS
.
85
5.
PORTFOLIO
MANAGEMENT
.
91
5.1
RISK
.
91
5.2
TWO
SECURITIES
.
94
5.2.1
RISK
AND
EXPECTED
RETURN
ON
A
PORTFOLIO
.
97
5.3
SEVERAL
SECURITIES
.
107
5.3.1
RISK
AND
EXPECTED
RETURN
ON
A
PORTFOLIO
.
107
5.3.2
EFFICIENT
FRONTIER
.
114
5.4
CAPITAL
ASSET
PRICING
MODEL
.
118
5.4.1
CAPITAL
MARKET
LINE
.
118
5.4.2
BETA
FACTOR
.
120
5.4.3
SECURITY
MARKET
LINE
.
122
6.
FORWARD
AND
FUTURES
CONTRACTS
.
125
6.1
FORWARD
CONTRACTS
.
125
6.1.1
FORWARD
PRICE
.
126
6.1.2
VALUE
OF
A
FORWARD
CONTRACT
.
132
6.2
FUTURES
.
134
6.2.1
PRICING
.
136
6.2.2
HEDGING
WITH
FUTURES
.
138
7.
OPTIONS:
GENERAL
PROPERTIES
.
147
7.1
DEFINITIONS
.
147
7.2
PUT-CALL
PARITY
.
150
7.3
BOUNDS
ON
OPTION
PRICES
.
154
7.3.1
EUROPEAN
OPTIONS
.
155
7.3.2
EUROPEAN
AND
AMERICAN
CALLS
ON
NON-DIVIDEND
PAYING
STOCK
.
157
7.3.3
AMERICAN
OPTIONS
.
158
CONTENTS
IX
7.4
VARIABLES
DETERMINING
OPTION
PRICES
.
159
7.4.1
EUROPEAN
OPTIONS
.
160
7.4.2
AMERICAN
OPTIONS
.
165
7.5
TIME
VALUE
OF
OPTIONS
.
169
8.
OPTION
PRICING
.
173
8.1
EUROPEAN
OPTIONS
IN
THE
BINOMIAL
TREE
MODEL
.
174
8.1.1
ONE
STEP
.
174
8.1.2
TWO
STEPS
.
176
8.1.3
GENERAL
N-STEP
MODEL
.
178
8.1.4
COX-ROSS-RUBINSTEIN
FORMULA
.
180
8.2
AMERICAN
OPTIONS
IN
THE
BINOMIAL
TREE
MODEL
.
181
8.3
BLACK-SCHOLES
FORMULA
.
185
9.
FINANCIAL
ENGINEERING
.
191
9.1
HEDGING
OPTION
POSITIONS
.
192
9.1.1
DELTA
HEDGING
.
192
9.1.2
GREEK
PARAMETERS
.
197
9.1.3
APPLICATIONS
.
199
9.2
HEDGING
BUSINESS
RISK
.
201
9.2.1
VALUE
AT
RISK
.
202
9.2.2
CASE
STUDY
.
203
9.3
SPECULATING
WITH
DERIVATIVES
.
208
9.3.1
TOOLS
.
208
9.3.2
CASE
STUDY
.
209
10.
VARIABLE
INTEREST
RATES
.
215
10.1
MATURITY-INDEPENDENT
YIELDS
.
216
10.1.1
INVESTMENT
IN
SINGLE
BONDS
.
217
10.1.2
DURATION
.
222
10.1.3
PORTFOLIOS
OF
BONDS
.
224
10.1.4
DYNAMIC
HEDGING
.
226
10.2
GENERAL
TERM
STRUCTURE
.
229
10.2.1
FORWARD
RATES
.
231
10.2.2
MONEY
MARKET
ACCOUNT
.
235
11.
STOCHASTIC
INTEREST
RATES
.
237
11.1
BINOMIAL
TREE
MODEL
.
238
11.2
ARBITRAGE
PRICING
OF
BONDS
.
245
11.2.1
RISK-NEUTRAL
PROBABILITIES
.
249
11.3
INTEREST
RATE
DERIVATIVE
SECURITIES
.
253
11.3.1
OPTIONS
.
254
X
CONTENTS
11.3.2
SWAPS
.
255
11.3.3
CAPS
AND
FLOORS
.
258
11.4
FINAL
REMARKS
.
259
SOLUTIONS
.
263
BIBLIOGRAPHY
.
303
GLOSSARY
OF
SYMBOLS
.
305
INDEX
.
307 |
| any_adam_object | 1 |
| author | Capiński, Marek 1951- Zastawniak, Tomasz 1959- |
| author_GND | (DE-588)172897866 (DE-588)120071231 |
| author_facet | Capiński, Marek 1951- Zastawniak, Tomasz 1959- |
| author_role | aut aut |
| author_sort | Capiński, Marek 1951- |
| author_variant | m c mc t z tz |
| building | Verbundindex |
| bvnumber | BV013452357 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106.C36 2003 |
| callnumber-search | HG106.C36 2003 |
| callnumber-sort | HG 3106 C36 42003 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QK 622 QP 750 QP 890 SK 980 |
| classification_tum | WIR 651f WIR 175f |
| ctrlnum | (OCoLC)248937192 (DE-599)BVBBV013452357 |
| dewey-full | 332.60151 332.6/01/5121 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151 332.6/01/51 21 |
| dewey-search | 332.60151 332.6/01/51 21 |
| dewey-sort | 3332.60151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV013452357 |
| illustrated | Illustrated |
| indexdate | 2024-08-22T00:16:28Z |
| institution | BVB |
| isbn | 1852333308 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009183236 |
| oclc_num | 248937192 |
| open_access_boolean | |
| owner | DE-739 DE-473 DE-BY-UBG DE-703 DE-M347 DE-20 DE-384 DE-19 DE-BY-UBM DE-91 DE-BY-TUM DE-1102 DE-945 DE-521 DE-634 DE-11 DE-188 |
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| physical | X, 310 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer undergraduate mathematics series |
| spelling | Capiński, Marek 1951- Verfasser (DE-588)172897866 aut Mathematics for finance an introduction to financial engineering Marek Capiński and Tomasz Zastawniak London [u.a.] Springer 2003 X, 310 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer undergraduate mathematics series Literaturverz. S. 303 - 304 Finanzmarkt / Portfolio-Management / Mathematische Ökonomie / Theorie Finanzmathematik - Lehrbuch Mathematik Mathematisches Modell Finance -- Mathematical models Investments -- Mathematics Business mathematics Finanzinvestition (DE-588)4417143-2 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzinvestition (DE-588)4417143-2 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Kapitalanlage (DE-588)4073213-7 s Financial Engineering (DE-588)4208404-0 s Risikomanagement (DE-588)4121590-4 s Finanzmathematik (DE-588)4017195-4 s Zastawniak, Tomasz 1959- Verfasser (DE-588)120071231 aut DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009183236&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Capiński, Marek 1951- Zastawniak, Tomasz 1959- Mathematics for finance an introduction to financial engineering Finanzmarkt / Portfolio-Management / Mathematische Ökonomie / Theorie Finanzmathematik - Lehrbuch Mathematik Mathematisches Modell Finance -- Mathematical models Investments -- Mathematics Business mathematics Finanzinvestition (DE-588)4417143-2 gnd Financial Engineering (DE-588)4208404-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kapitalanlage (DE-588)4073213-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4417143-2 (DE-588)4208404-0 (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4073213-7 (DE-588)4121590-4 (DE-588)4123623-3 |
| title | Mathematics for finance an introduction to financial engineering |
| title_auth | Mathematics for finance an introduction to financial engineering |
| title_exact_search | Mathematics for finance an introduction to financial engineering |
| title_full | Mathematics for finance an introduction to financial engineering Marek Capiński and Tomasz Zastawniak |
| title_fullStr | Mathematics for finance an introduction to financial engineering Marek Capiński and Tomasz Zastawniak |
| title_full_unstemmed | Mathematics for finance an introduction to financial engineering Marek Capiński and Tomasz Zastawniak |
| title_short | Mathematics for finance |
| title_sort | mathematics for finance an introduction to financial engineering |
| title_sub | an introduction to financial engineering |
| topic | Finanzmarkt / Portfolio-Management / Mathematische Ökonomie / Theorie Finanzmathematik - Lehrbuch Mathematik Mathematisches Modell Finance -- Mathematical models Investments -- Mathematics Business mathematics Finanzinvestition (DE-588)4417143-2 gnd Financial Engineering (DE-588)4208404-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kapitalanlage (DE-588)4073213-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzmarkt / Portfolio-Management / Mathematische Ökonomie / Theorie Finanzmathematik - Lehrbuch Mathematik Mathematisches Modell Finance -- Mathematical models Investments -- Mathematics Business mathematics Finanzinvestition Financial Engineering Finanzmathematik Kapitalanlage Risikomanagement Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009183236&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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