Derivative pricing in discrete time
Derivatives 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...
שמור ב:
| Auteurs principaux: | , |
|---|---|
| פורמט: | Livre numérique |
| שפה: | Anglais |
| יצא לאור: |
London :
Springer London
2013.
Cham : Springer Nature |
| סדרה: | Springer Undergraduate Mathematics Series
|
| גישה מקוונת: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| הערה: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Derivative pricing in discrete time, Texte imprimé, 9781447144076 |
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| 100 | 1 | |a Cutland, Nigel, |d 1944- | |
| 245 | 1 | 0 | |a Derivative pricing in discrete time |c by Nigel J. Cutland, Alet Roux. |
| 260 | |a London : |b Springer London. | ||
| 260 | |a Cham : |b Springer Nature, |c 2013. | ||
| 490 | 0 | |a Springer Undergraduate Mathematics Series |x 2730-5813 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a Derivatives 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 | ||
| 700 | 1 | |a Roux, Alet, |d 19..- |4 aut | |
| 776 | 0 | |t Derivative pricing in discrete time |b Texte imprimé |z 9781447144076 | |
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