000 03729nam a22004935i 4500
001 978-1-4471-4408-3
003 DE-He213
005 20140220082805.0
007 cr nn 008mamaa
008 120913s2013 xxk| s |||| 0|eng d
020 _a9781447144083
_9978-1-4471-4408-3
024 7 _a10.1007/978-1-4471-4408-3
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aCutland, Nigel J.
_eauthor.
245 1 0 _aDerivative Pricing in Discrete Time
_h[electronic resource] /
_cby Nigel J. Cutland, Alet Roux.
264 1 _aLondon :
_bSpringer London :
_bImprint: Springer,
_c2013.
300 _aXV, 325 p. 63 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Undergraduate Mathematics Series,
_x1615-2085
505 0 _aDerivative Pricing and Hedging -- A Simple Market Model -- Single-Period Models -- Multi-Period Models: No-Arbitrage Pricing -- Multi-Period Models: Risk-Neutral Pricing -- The Cox-Ross-Rubinstein model -- American Options -- Advanced Topics.
520 _aDerivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets. This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative, which is defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The authors first examine the simplest possible financial model, which has only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black−Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aFinance/Investment/Banking.
700 1 _aRoux, Alet.
_eauthor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781447144076
830 0 _aSpringer Undergraduate Mathematics Series,
_x1615-2085
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4471-4408-3
912 _aZDB-2-SMA
999 _c94611
_d94611