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Discrete models of financial markets /
An excellent basis for further study. Suitable even for readers with no mathematical background.
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2012.
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| Colección: | Mastering mathematical finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.
- 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.
- 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.
- 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.