Discrete models of financial markets:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2012
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Mastering mathematical finance
|
| Schlagworte: | |
| Online-Zugang: | Cover image Contributor biographical information Publisher description Table of contents only Inhaltsverzeichnis |
| Beschreibung: | "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"-- Provided by publisher. -- "This volume introduces simple mathematical models of financial markets, focussing on the problems of pricing and hedging risky financial instruments whose price evolution depends on the prices of other risky assets, such as stocks or commodities. Over the past four decades trading in these derivative securities (so named since their value derives from those of other, underlying, assets) has expanded enormously, not least as a result of the availability of mathematical models that provide initial pricing benchmarks. The markets in these financial instruments have provided investors with a much wider choice of investment vehicles, often tailor-made to specific investment objectives, and have led to greatly enhanced liquidity in asset markets. At the same time, the proliferation of ever more complex derivatives has led to increased market volatility resulting from the search for ever-higher short-term returns, while the sheer speed of expansion has made investment banking a highly specialised business, imperfe Includes bibliographical references and index |
| Beschreibung: | IX, 181 S. graph. Darst. |
| ISBN: | 9781107002630 9780521175722 |
Internformat
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| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Statistik | |
| 650 | 4 | |a Wirtschaft | |
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Datensatz im Suchindex
| _version_ | 1804149044937752576 |
|---|---|
| adam_text | Titel: Discrete models of financial markets
Autor: Capiński, Marek
Jahr: 2012
Contents
Preface page ix
1 Introduction 1
2 Sing] e-step asset pricing models 3
2.1 Single-step binomial tree 4
2.2 Option pricing 8
2.3 General derivative securities 11
2.4 Two underlying securities 18
2.5 The trinomial model 21
2.6 A general single-step model 34
2.7 General properties of derivative prices 42
2.8 Proofs 45
3 Multi-step binomial model 48
3.1 Two-step example 48
3.2 Partitions and information 55
3.3 Martingale properties 60
3.4 The Cox-Ross-Rubinstein model 64
3.5 Delta hedging 70
4 Multi-step general models 72
4.1 Partitions and conditioning 72
4.2 Properties of conditional expectation 74
4.3 Filtrations and martingales 78
4.4 Trading strategies and arbitrage 81
4.5 A general multi-step model 86
4.6 The Fundamental Theorems of Asset Pricing 92
4.7 Selecting and calibrating a pricing model 98
4.8 More examples of derivatives 100
4.9 Proofs 108
5 American options 110
5.1 Pricing 111
5.2 Stopping times and optimal exercise 116
5.3 Hedging 122
127
133
137
138
141
146
152
166
173
Index 180
5.4 General properties of option prices
5.5 Proofs
Mod Celling bonds and interest rates
6.1 Zero-coupon bonds
6.2 Forward rates
6.3 Coupon bonds
6.4 Binary tree term structure models
6.5 Short rates
6.6 The Ho-Lee model of term structure
|
| any_adam_object | 1 |
| author | Capiński, Marek 1951- Kopp, Peter E. 1944- |
| author_GND | (DE-588)172897866 (DE-588)120339889 |
| author_facet | Capiński, Marek 1951- Kopp, Peter E. 1944- |
| author_role | aut aut |
| author_sort | Capiński, Marek 1951- |
| author_variant | m c mc p e k pe pek |
| building | Verbundindex |
| bvnumber | BV040096353 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 |
| callnumber-search | HG106 |
| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 890 SK 980 |
| ctrlnum | (OCoLC)767911309 (DE-599)BVBBV040096353 |
| dewey-full | 332.01/5111 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5111 |
| dewey-search | 332.01/5111 |
| dewey-sort | 3332.01 45111 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:16:47Z |
| institution | BVB |
| isbn | 9781107002630 9780521175722 |
| language | English |
| lccn | 2011049193 |
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| physical | IX, 181 S. graph. Darst. |
| publishDate | 2012 |
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| series2 | Mastering mathematical finance |
| spelling | Capiński, Marek 1951- Verfasser (DE-588)172897866 aut Discrete models of financial markets Marek Capiński ; Ekkehard Kopp 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2012 IX, 181 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mastering mathematical finance "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"-- Provided by publisher. -- "This volume introduces simple mathematical models of financial markets, focussing on the problems of pricing and hedging risky financial instruments whose price evolution depends on the prices of other risky assets, such as stocks or commodities. Over the past four decades trading in these derivative securities (so named since their value derives from those of other, underlying, assets) has expanded enormously, not least as a result of the availability of mathematical models that provide initial pricing benchmarks. The markets in these financial instruments have provided investors with a much wider choice of investment vehicles, often tailor-made to specific investment objectives, and have led to greatly enhanced liquidity in asset markets. At the same time, the proliferation of ever more complex derivatives has led to increased market volatility resulting from the search for ever-higher short-term returns, while the sheer speed of expansion has made investment banking a highly specialised business, imperfe Includes bibliographical references and index Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Interest rates Mathematical models BUSINESS & ECONOMICS / Statistics bisacsh Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s DE-604 Kopp, Peter E. 1944- Verfasser (DE-588)120339889 aut http://assets.cambridge.org/97811070/02630/cover/9781107002630.jpg Cover image http://www.loc.gov/catdir/enhancements/fy1205/2011049193-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy1205/2011049193-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy1205/2011049193-t.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024953017&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Capiński, Marek 1951- Kopp, Peter E. 1944- Discrete models of financial markets Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Interest rates Mathematical models BUSINESS & ECONOMICS / Statistics bisacsh Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 |
| title | Discrete models of financial markets |
| title_auth | Discrete models of financial markets |
| title_exact_search | Discrete models of financial markets |
| title_full | Discrete models of financial markets Marek Capiński ; Ekkehard Kopp |
| title_fullStr | Discrete models of financial markets Marek Capiński ; Ekkehard Kopp |
| title_full_unstemmed | Discrete models of financial markets Marek Capiński ; Ekkehard Kopp |
| title_short | Discrete models of financial markets |
| title_sort | discrete models of financial markets |
| topic | Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Interest rates Mathematical models BUSINESS & ECONOMICS / Statistics bisacsh Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Interest rates Mathematical models BUSINESS & ECONOMICS / Statistics Finanzmathematik |
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