Discrete models of financial markets
著者
書誌事項
Discrete models of financial markets
（Mastering mathematical finance）
Cambridge University Press, 2012
- : hardback
- : pbk
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注記
Includes index
内容説明・目次
内容説明
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.
目次
- 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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