Discrete models of financial markets /:
An excellent basis for further study. Suitable even for readers with no mathematical background.
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge :
Cambridge University Press,
2012.
|
| Schriftenreihe: | Mastering mathematical finance.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | An excellent basis for further study. Suitable even for readers with no mathematical background. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9781139233583 1139233580 1280393386 9781280393389 9781139051583 113905158X 9781139230582 1139230581 |
Internformat
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| 245 | 1 | 0 | |a Discrete models of financial markets / |c Marek Capiński, Ekkehard Kopp. |
| 260 | |a Cambridge : |b Cambridge University Press, |c 2012. | ||
| 300 | |a 1 online resource | ||
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| 490 | 1 | |a Mastering mathematical finance | |
| 505 | 0 | |a Cover; Discrete Models of Financial Markets; Series; Title; Copyright; Dedication; Contents; Preface; 1: Introduction; 2: Single-step asset pricing models; 2.1 Single-step binomial tree; Assets; Investment; 2.2 Option pricing; 2.3 General derivative securities; Risk and return; 2.4 Two underlying securities; 2.5 The trinomial model; The no-arbitrage interval; Replication with two stocks; 2.6 A general single-step model; First fundamental theorem; Second fundamental theorem; 2.7 General properties of derivative prices; Forward contracts; Call-put parity; Arbitrage bounds on option prices. | |
| 505 | 8 | |a 2.8 Proofs3: Multi-step binomial model; 3.1 Two-step example; Trading strategies; Pricing; 3.2 Partitions and information; 3.3 Martingale properties; Discounted stock prices; Strategies and pricing; 3.4 The Cox-Ross-Rubinstein model; 3.5 Delta hedging; 4: Multi-step general models; 4.1 Partitions and conditioning; 4.2 Properties of conditional expectation; 4.3 Filtrations and martingales; 4.4 Trading strategies and arbitrage; 4.5 A general multi-step model; 4.6 The Fundamental Theorems of Asset Pricing; First Fundamental Theorem; Second Fundamental Theorem; Consequences for option pricing. | |
| 505 | 8 | |a 4.7 Selecting and calibrating a pricing model4.8 More examples of derivatives; Call-put parity; Forwards and futures; Complex derivatives; Path-dependent options; 4.9 Proofs; 5: American options; 5.1 Pricing; 5.2 Stopping times and optimal exercise; 5.3 Hedging; The Doob decomposition; 5.4 General properties of option prices; American call options; Bounds on option prices; Dependence on the underlying; Dependence on the strike price; 5.5 Proofs; 6: Modelling bonds and interest rates; 6.1 Zero-coupon bonds; 6.2 Forward rates; Forward price of a unit bond; Forward rates; 6.3 Coupon bonds. | |
| 505 | 8 | |a Fixed-coupon bondsVariable-rate bonds; Interest rate swaps; 6.4 Binary tree term structure models; General binary tree framework; Risk-neutral probabilities and arbitrage; Multi-factor models; Multi-step models; 6.5 Short rates; 6.6 The Ho-Lee model of term structure; Model set-up; The perturbation factors; Short rates; Index. | |
| 520 | |a An excellent basis for further study. Suitable even for readers with no mathematical background. | ||
| 588 | 0 | |a Print version record. | |
| 504 | |a Includes bibliographical references and index. | ||
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Interest rates |x Mathematical models. | |
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| 776 | 0 | 8 | |i Print version: |a Capinski, Marek. |t Discrete Models of Financial Markets. |d Cambridge : Cambridge University Press, 2012 |z 9781107002630 |
| 830 | 0 | |a Mastering mathematical finance. |0 http://id.loc.gov/authorities/names/no2012083164 | |
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| author | Capiński, Marek, 1951- |
| author2 | Kopp, P. E., 1944- |
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| author_GND | http://id.loc.gov/authorities/names/n94114984 http://id.loc.gov/authorities/names/n83133988 |
| author_facet | Capiński, Marek, 1951- Kopp, P. E., 1944- |
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| contents | Cover; Discrete Models of Financial Markets; Series; Title; Copyright; Dedication; Contents; Preface; 1: Introduction; 2: Single-step asset pricing models; 2.1 Single-step binomial tree; Assets; Investment; 2.2 Option pricing; 2.3 General derivative securities; Risk and return; 2.4 Two underlying securities; 2.5 The trinomial model; The no-arbitrage interval; Replication with two stocks; 2.6 A general single-step model; First fundamental theorem; Second fundamental theorem; 2.7 General properties of derivative prices; Forward contracts; Call-put parity; Arbitrage bounds on option prices. 2.8 Proofs3: Multi-step binomial model; 3.1 Two-step example; Trading strategies; Pricing; 3.2 Partitions and information; 3.3 Martingale properties; Discounted stock prices; Strategies and pricing; 3.4 The Cox-Ross-Rubinstein model; 3.5 Delta hedging; 4: Multi-step general models; 4.1 Partitions and conditioning; 4.2 Properties of conditional expectation; 4.3 Filtrations and martingales; 4.4 Trading strategies and arbitrage; 4.5 A general multi-step model; 4.6 The Fundamental Theorems of Asset Pricing; First Fundamental Theorem; Second Fundamental Theorem; Consequences for option pricing. 4.7 Selecting and calibrating a pricing model4.8 More examples of derivatives; Call-put parity; Forwards and futures; Complex derivatives; Path-dependent options; 4.9 Proofs; 5: American options; 5.1 Pricing; 5.2 Stopping times and optimal exercise; 5.3 Hedging; The Doob decomposition; 5.4 General properties of option prices; American call options; Bounds on option prices; Dependence on the underlying; Dependence on the strike price; 5.5 Proofs; 6: Modelling bonds and interest rates; 6.1 Zero-coupon bonds; 6.2 Forward rates; Forward price of a unit bond; Forward rates; 6.3 Coupon bonds. Fixed-coupon bondsVariable-rate bonds; Interest rate swaps; 6.4 Binary tree term structure models; General binary tree framework; Risk-neutral probabilities and arbitrage; Multi-factor models; Multi-step models; 6.5 Short rates; 6.6 The Ho-Lee model of term structure; Model set-up; The perturbation factors; Short rates; Index. |
| ctrlnum | (OCoLC)793510842 |
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| 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 | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn793510842 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:05Z |
| institution | BVB |
| isbn | 9781139233583 1139233580 1280393386 9781280393389 9781139051583 113905158X 9781139230582 1139230581 |
| language | English |
| oclc_num | 793510842 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource |
| psigel | ZDB-4-EBU |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Cambridge University Press, |
| record_format | marc |
| series | Mastering mathematical finance. |
| series2 | Mastering mathematical finance |
| spelling | Capiński, Marek, 1951- https://id.oclc.org/worldcat/entity/E39PCjKjPDTpGTp6kgCGBXG6YX http://id.loc.gov/authorities/names/n94114984 Discrete models of financial markets / Marek Capiński, Ekkehard Kopp. Cambridge : Cambridge University Press, 2012. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Mastering mathematical finance Cover; Discrete Models of Financial Markets; Series; Title; Copyright; Dedication; Contents; Preface; 1: Introduction; 2: Single-step asset pricing models; 2.1 Single-step binomial tree; Assets; Investment; 2.2 Option pricing; 2.3 General derivative securities; Risk and return; 2.4 Two underlying securities; 2.5 The trinomial model; The no-arbitrage interval; Replication with two stocks; 2.6 A general single-step model; First fundamental theorem; Second fundamental theorem; 2.7 General properties of derivative prices; Forward contracts; Call-put parity; Arbitrage bounds on option prices. 2.8 Proofs3: Multi-step binomial model; 3.1 Two-step example; Trading strategies; Pricing; 3.2 Partitions and information; 3.3 Martingale properties; Discounted stock prices; Strategies and pricing; 3.4 The Cox-Ross-Rubinstein model; 3.5 Delta hedging; 4: Multi-step general models; 4.1 Partitions and conditioning; 4.2 Properties of conditional expectation; 4.3 Filtrations and martingales; 4.4 Trading strategies and arbitrage; 4.5 A general multi-step model; 4.6 The Fundamental Theorems of Asset Pricing; First Fundamental Theorem; Second Fundamental Theorem; Consequences for option pricing. 4.7 Selecting and calibrating a pricing model4.8 More examples of derivatives; Call-put parity; Forwards and futures; Complex derivatives; Path-dependent options; 4.9 Proofs; 5: American options; 5.1 Pricing; 5.2 Stopping times and optimal exercise; 5.3 Hedging; The Doob decomposition; 5.4 General properties of option prices; American call options; Bounds on option prices; Dependence on the underlying; Dependence on the strike price; 5.5 Proofs; 6: Modelling bonds and interest rates; 6.1 Zero-coupon bonds; 6.2 Forward rates; Forward price of a unit bond; Forward rates; 6.3 Coupon bonds. Fixed-coupon bondsVariable-rate bonds; Interest rate swaps; 6.4 Binary tree term structure models; General binary tree framework; Risk-neutral probabilities and arbitrage; Multi-factor models; Multi-step models; 6.5 Short rates; 6.6 The Ho-Lee model of term structure; Model set-up; The perturbation factors; Short rates; Index. An excellent basis for further study. Suitable even for readers with no mathematical background. Print version record. Includes bibliographical references and index. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Interest rates Mathematical models. Finances Modèles mathématiques. Taux d'intérêt Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Finanzas Modelos matemáticos embne Finance Mathematical models fast Interest rates Mathematical models fast Kopp, P. E., 1944- https://id.oclc.org/worldcat/entity/E39PBJxrVdrPwWKR39tDPq9Rrq http://id.loc.gov/authorities/names/n83133988 Print version: Capinski, Marek. Discrete Models of Financial Markets. Cambridge : Cambridge University Press, 2012 9781107002630 Mastering mathematical finance. http://id.loc.gov/authorities/names/no2012083164 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=438568 Volltext |
| spellingShingle | Capiński, Marek, 1951- Discrete models of financial markets / Mastering mathematical finance. Cover; Discrete Models of Financial Markets; Series; Title; Copyright; Dedication; Contents; Preface; 1: Introduction; 2: Single-step asset pricing models; 2.1 Single-step binomial tree; Assets; Investment; 2.2 Option pricing; 2.3 General derivative securities; Risk and return; 2.4 Two underlying securities; 2.5 The trinomial model; The no-arbitrage interval; Replication with two stocks; 2.6 A general single-step model; First fundamental theorem; Second fundamental theorem; 2.7 General properties of derivative prices; Forward contracts; Call-put parity; Arbitrage bounds on option prices. 2.8 Proofs3: Multi-step binomial model; 3.1 Two-step example; Trading strategies; Pricing; 3.2 Partitions and information; 3.3 Martingale properties; Discounted stock prices; Strategies and pricing; 3.4 The Cox-Ross-Rubinstein model; 3.5 Delta hedging; 4: Multi-step general models; 4.1 Partitions and conditioning; 4.2 Properties of conditional expectation; 4.3 Filtrations and martingales; 4.4 Trading strategies and arbitrage; 4.5 A general multi-step model; 4.6 The Fundamental Theorems of Asset Pricing; First Fundamental Theorem; Second Fundamental Theorem; Consequences for option pricing. 4.7 Selecting and calibrating a pricing model4.8 More examples of derivatives; Call-put parity; Forwards and futures; Complex derivatives; Path-dependent options; 4.9 Proofs; 5: American options; 5.1 Pricing; 5.2 Stopping times and optimal exercise; 5.3 Hedging; The Doob decomposition; 5.4 General properties of option prices; American call options; Bounds on option prices; Dependence on the underlying; Dependence on the strike price; 5.5 Proofs; 6: Modelling bonds and interest rates; 6.1 Zero-coupon bonds; 6.2 Forward rates; Forward price of a unit bond; Forward rates; 6.3 Coupon bonds. Fixed-coupon bondsVariable-rate bonds; Interest rate swaps; 6.4 Binary tree term structure models; General binary tree framework; Risk-neutral probabilities and arbitrage; Multi-factor models; Multi-step models; 6.5 Short rates; 6.6 The Ho-Lee model of term structure; Model set-up; The perturbation factors; Short rates; Index. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Interest rates Mathematical models. Finances Modèles mathématiques. Taux d'intérêt Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Finanzas Modelos matemáticos embne Finance Mathematical models fast Interest rates Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 |
| 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 | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Interest rates Mathematical models. Finances Modèles mathématiques. Taux d'intérêt Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Finance. bisacsh Finanzas Modelos matemáticos embne Finance Mathematical models fast Interest rates Mathematical models fast |
| topic_facet | Finance Mathematical models. Interest rates Mathematical models. Finances Modèles mathématiques. Taux d'intérêt Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. BUSINESS & ECONOMICS Finance. Finanzas Modelos matemáticos Finance Mathematical models Interest rates Mathematical models |
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| work_keys_str_mv | AT capinskimarek discretemodelsoffinancialmarkets AT kopppe discretemodelsoffinancialmarkets |