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Discrete models of financial markets /

Capiński, Marek, (1951-)

Discrete models of financial markets /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Discrete models of financial markets /Marek Capiński, Ekkehard Kopp.
作者:	Capiński, Marek,
其他作者:	Kopp, P. E.,
出版者:	Cambridge ;Cambridge University Press,2012.
面頁冊數:	ix, 181 p. :ill. ;24 cm.
附註:	Includes index.
標題:	FinanceMathematical models.
電子資源:	http://assets.cambridge.org/97811070/02630/cover/9781107002630.jpg
電子資源:	http://www.loc.gov/catdir/enhancements/fy1205/2011049193-b.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy1205/2011049193-d.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy1205/2011049193-t.html
ISBN:	9781107002630 (hbk.) :

Discrete models of financial markets /
Capiński, Marek,1951-

Discrete models of financial markets /Marek Capiński, Ekkehard Kopp. - Cambridge ;Cambridge University Press,2012. - ix, 181 p. :ill. ;24 cm. - Mastering mathematical finance.

Includes index.

Machine generated contents note: 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.

"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"--

ISBN: 9781107002630 (hbk.) :NT$2261

LCCN: 2011049193Subjects--Topical Terms:

183782
Finance
--Mathematical models.

LC Class. No.: HG106 / .C357 2012

Dewey Class. No.: 332.01/5111

Discrete models of financial markets /
LDR:04078cam a2200337 a 4500 001 427315
003 DLC
005 20120627200217.0
008 140917s2012 enka 001 0 eng
010 $a 2011049193
020 $a 9781107002630 (hbk.) : $c NT$2261
020 $a 110700263X (hbk.)
020 $a 9780521175722 (pbk.)
020 $a 0521175720 (pbk.)
035 $a 2011049193
040 $a DLC $b eng $c DLC $d DLC
042 $a pcc
050 0 0 $a HG106 $b .C357 2012
082 0 0 $a 332.01/5111 $2 23
084 $a BUS061000 $2 bisacsh
100 1 $a Capiński, Marek, $d 1951- $3 671297
245 1 0 $a Discrete models of financial markets / $c Marek Capiński, Ekkehard Kopp.
260 $a Cambridge ; $a New York : $b Cambridge University Press, $c 2012.
300 $a ix, 181 p. : $b ill. ; $c 24 cm.
490 0 $a Mastering mathematical finance
500 $a Includes index.
505 8 $a Machine generated contents note: 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.
520 $a "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"-- $c Provided by publisher.
520 $a "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, imperfectly understood by many investors, boards of directors and even market specialists. The consequences of 'irrational exuberance' in some markets have been brought home painfully by stock market crashes and banking crises, and have led to increased regulation. It seems to us a sound principle that market participants should have a clear understanding of the products they trade. Thus a better grasp of the basic modelling tools upon which much of modern derivative pricing is based is essential. These tools are mathematical techniques, informed by some basic economic precepts, which lead to a clearer formulation and quantification of the risk inherent in a given transaction, and its impact on possible returns"-- $c Provided by publisher.
650 0 $a Finance $x Mathematical models. $3 183782
650 0 $a Interest rates $x Mathematical models. $3 182968
650 7 $a BUSINESS & ECONOMICS / Statistics. $2 bisacsh $3 616802
700 1 $a Kopp, P. E., $d 1944- $3 183329
856 4 2 $3 Cover image $u http://assets.cambridge.org/97811070/02630/cover/9781107002630.jpg
856 4 2 $3 Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy1205/2011049193-b.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy1205/2011049193-d.html
856 4 1 $3 Table of contents only $u http://www.loc.gov/catdir/enhancements/fy1205/2011049193-t.html

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http://assets.cambridge.org/97811070/02630/cover/9781107002630.jpg
http://www.loc.gov/catdir/enhancements/fy1205/2011049193-b.html
http://www.loc.gov/catdir/enhancements/fy1205/2011049193-d.html
http://www.loc.gov/catdir/enhancements/fy1205/2011049193-t.html

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