Derivative Pricing in Discrete Time

Häftad, Engelska, 2012

Del i serien Springer Undergraduate Mathematics Series

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2012-09-07
Mått:155 x 235 x 20 mm
Vikt:528 g
Format:Häftad
Språk:Engelska
Serie:Springer Undergraduate Mathematics Series
Antal sidor:325
Upplaga:2013
Förlag:Springer London Ltd
ISBN:9781447144076

Utforska kategorier

Mer om författaren

Nigel J. Cutland is Professor of Mathematics at the University of York, UK. Alet Roux also teaches at the University of York, UK, where she is Chair of the Board of Examiners and a member of the Mathematical Finance and Stochastic Analysis Research Group.

Recensioner i media

From the reviews: "Derivative Pricing in Discrete Time introduces the basic ideas of financial derivatives with a minimum of prerequisites. ... Indeed, as an undergraduate-level mathematical treatment of the subject, this is the best textbook I have seen. ... I would recommend the book to students preparing for financial careers, such as actuaries. Practical pricing models should make more sense with the theoretical grounding provided by this book." (John Curran, MAA Reviews, May, 2014)

Innehållsförteckning

Derivative 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.