Discrete Models of Financial Markets by Ekkehard Kopp (English) Hardcover Book

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This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. All proofs are written in a user-friendly, step-by-step manner and following a natural flow of thought. In this way the student learns how to tackle new problems.

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Publisher Description

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.

Author Biography

Marek Capinski has published over 50 research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998-2008) and the Cambridge University Press AIMS Library series. He has authored more than 50 research publications and five books.

Table of Contents

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.

Review

'The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models.' Thomas S. Y. Ho, SIAM Review '... clearly written ... The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text.' George Matthews, Mathematics Today "The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models." Thomas S. Y. Ho, SIAM Review "... clearly written ... The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text." George Matthews, Mathematics Today

Review Quote

"The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models." Thomas S.Y. Ho, Thomas Ho Company for SIAM Review

Promotional "Headline"

An excellent basis for further study. Suitable even for readers with no mathematical background.

Description for Bookstore

This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. All proofs are written in a user-friendly, step-by-step manner and following a natural flow of thought. In this way the student learns how to tackle new problems.

Description for Library

This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. All proofs are written in a user-friendly, step-by-step manner and following a natural flow of thought. In this way the student learns how to tackle new problems.

Details ISBN110700263X Author Marek Capinski Publisher Cambridge University Press Series Mastering Mathematical Finance Year 2012 ISBN-10 110700263X ISBN-13 9781107002630 Format Hardcover Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Short Title DISCRETE MODELS OF FINANCIAL M Language English Media Book Pages 192 Publication Date 2012-02-23 Residence PO Birth 1951 DEWEY 332.015118 Audience Professional and Scholarly UK Release Date 2012-02-23 AU Release Date 2012-02-23 NZ Release Date 2012-02-23 Illustrations Worked examples or Exercises; 10 Line drawings, unspecified We've got this

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