Discrete models of financial markets /

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

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Capiński, Marek, 1951-
Otros Autores: Kopp, P. E., 1944-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge : Cambridge University Press, 2012.
Colección:Mastering mathematical finance.
Temas:
Finance > Mathematical models.
Interest rates > Mathematical models.
Finances > Modèles mathématiques.
Taux d'intérêt > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
BUSINESS & ECONOMICS > Finance.
Finanzas > Modelos matemáticos
Finance > Mathematical models
Interest rates > Mathematical models
Acceso en línea:Texto completo

MARC

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100 1 |a Capiński, Marek,  |d 1951- 
245 1 0 |a Discrete models of financial markets /  |c Marek Capiński, Ekkehard Kopp. 
260 |a Cambridge :  |b Cambridge University Press,  |c 2012. 
300 |a 1 online resource 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
490 1 |a Mastering mathematical finance 
505 0 |a Cover; Discrete Models of Financial Markets; Series; Title; Copyright; Dedication; Contents; Preface; 1: Introduction; 2: Single-step asset pricing models; 2.1 Single-step binomial tree; Assets; Investment; 2.2 Option pricing; 2.3 General derivative securities; Risk and return; 2.4 Two underlying securities; 2.5 The trinomial model; The no-arbitrage interval; Replication with two stocks; 2.6 A general single-step model; First fundamental theorem; Second fundamental theorem; 2.7 General properties of derivative prices; Forward contracts; Call-put parity; Arbitrage bounds on option prices. 
505 8 |a 2.8 Proofs3: Multi-step binomial model; 3.1 Two-step example; Trading strategies; Pricing; 3.2 Partitions and information; 3.3 Martingale properties; Discounted stock prices; Strategies and pricing; 3.4 The Cox-Ross-Rubinstein model; 3.5 Delta hedging; 4: Multi-step general models; 4.1 Partitions and conditioning; 4.2 Properties of conditional expectation; 4.3 Filtrations and martingales; 4.4 Trading strategies and arbitrage; 4.5 A general multi-step model; 4.6 The Fundamental Theorems of Asset Pricing; First Fundamental Theorem; Second Fundamental Theorem; Consequences for option pricing. 
505 8 |a 4.7 Selecting and calibrating a pricing model4.8 More examples of derivatives; Call-put parity; Forwards and futures; Complex derivatives; Path-dependent options; 4.9 Proofs; 5: American options; 5.1 Pricing; 5.2 Stopping times and optimal exercise; 5.3 Hedging; The Doob decomposition; 5.4 General properties of option prices; American call options; Bounds on option prices; Dependence on the underlying; Dependence on the strike price; 5.5 Proofs; 6: Modelling bonds and interest rates; 6.1 Zero-coupon bonds; 6.2 Forward rates; Forward price of a unit bond; Forward rates; 6.3 Coupon bonds. 
505 8 |a Fixed-coupon bondsVariable-rate bonds; Interest rate swaps; 6.4 Binary tree term structure models; General binary tree framework; Risk-neutral probabilities and arbitrage; Multi-factor models; Multi-step models; 6.5 Short rates; 6.6 The Ho-Lee model of term structure; Model set-up; The perturbation factors; Short rates; Index. 
520 |a An excellent basis for further study. Suitable even for readers with no mathematical background. 
588 0 |a Print version record. 
504 |a Includes bibliographical references and index. 
590 |a eBooks on EBSCOhost  |b EBSCO eBook Subscription Academic Collection - Worldwide 
650 0 |a Finance  |x Mathematical models. 
650 0 |a Interest rates  |x Mathematical models. 
650 6 |a Finances  |x Modèles mathématiques. 
650 6 |a Taux d'intérêt  |x Modèles mathématiques. 
650 7 |a BUSINESS & ECONOMICS  |x Investments & Securities  |x General.  |2 bisacsh 
650 7 |a BUSINESS & ECONOMICS  |x Finance.  |2 bisacsh 
650 7 |a Finanzas  |x Modelos matemáticos  |2 embne 
650 7 |a Finance  |x Mathematical models  |2 fast 
650 7 |a Interest rates  |x Mathematical models  |2 fast 
700 1 |a Kopp, P. E.,  |d 1944- 
776 0 8 |i Print version:  |a Capinski, Marek.  |t Discrete Models of Financial Markets.  |d Cambridge : Cambridge University Press, 2012  |z 9781107002630 
830 0 |a Mastering mathematical finance. 
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