Skip to content
Register Sign in Wishlist

Discrete Models of Financial Markets

$34.99 (P)

Part of Mastering Mathematical Finance

  • Date Published: March 2012
  • availability: In stock
  • format: Paperback
  • isbn: 9780521175722

$ 34.99 (P)
Paperback

Add to cart Add to wishlist

Other available formats:
Hardback, eBook


Looking for an examination copy?

If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact collegesales@cambridge.org providing details of the course you are teaching.

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. Relatively elementary mathematics leads to powerful notions and techniques – such as viability, completeness, self-financing and replicating strategies, arbitrage and equivalent martingale measures – which are directly applicable in practice. The general methods are applied in detail to pricing and hedging European and American options within the Cox–Ross–Rubinstein (CRR) binomial tree model. A simple approach to discrete interest rate models is included, which, though elementary, has some novel features. All proofs are written in a user-friendly manner, with each step carefully explained and following a natural flow of thought. In this way the student learns how to tackle new problems.

    • Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
    • The mathematics is rigorous but also motivated, so readers see how to apply what they learn
    • Clear, concise and short, so readers can master the whole topic
    Read more

    Reviews & endorsements

    "The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models."
    Thomas S. Y. Ho, SIAM Review

    "… clearly written … The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text."
    George Matthews, Mathematics Today

    See more reviews

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: March 2012
    • format: Paperback
    • isbn: 9780521175722
    • length: 192 pages
    • dimensions: 227 x 152 x 12 mm
    • weight: 0.31kg
    • contains: 10 b/w illus. 95 exercises
    • availability: In stock
  • Table of Contents

    Preface
    1. Introduction
    2. Single-step asset pricing models
    3. Multi-step binomial model
    4. Multi-step general models
    5. American options
    6. Modelling bonds and interest rates
    Index.

  • Resources for

    Discrete Models of Financial Markets

    Marek Capiński, Ekkehard Kopp

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    *This title has one or more locked files and access is given only to instructors adopting the textbook for their class. We need to enforce this strictly so that solutions are not made available to students. To gain access to locked resources you either need first to sign in or register for an account.


    These resources are provided free of charge by Cambridge University Press with permission of the author of the corresponding work, but are subject to copyright. You are permitted to view, print and download these resources for your own personal use only, provided any copyright lines on the resources are not removed or altered in any way. Any other use, including but not limited to distribution of the resources in modified form, or via electronic or other media, is strictly prohibited unless you have permission from the author of the corresponding work and provided you give appropriate acknowledgement of the source.

    If you are having problems accessing these resources please email lecturers@cambridge.org

  • Instructors have used or reviewed this title for the following courses

    • Advanced Financial Management
    • Applied Analytical Methods in Finance
  • Authors

    Marek Capiński, AGH University of Science and Technology, Krakow
    Marek Capiński has published over 50 research papers and nine books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow.

    Ekkehard Kopp, University of Hull
    Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the Cambridge University Press AIMS Library series. He has authored more than 50 research publications and five books.

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×