Description: Derivative Pricing in Discrete Time Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Nigel J. Cutland, Alet Roux Format: Paperback Publisher: Springer London Ltd, United Kingdom Imprint: Springer London Ltd ISBN-13: 9781447144076, 978-1447144076 Synopsis 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; 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 theory examines the simplest possible financial model having 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.
Price: 25.53 GBP
Location: Aldershot
End Time: 2024-12-08T09:06:43.000Z
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Book Title: Derivative Pricing in Discrete Time
Number of Pages: 325 Pages
Language: English
Publication Name: Derivative Pricing in Discrete Time
Publisher: Springer London LTD
Publication Year: 2012
Subject: Accounting, Finance, Mathematics
Item Height: 235 mm
Item Weight: 528 g
Type: Textbook
Author: Nigel J. Cutland, Alet Roux
Series: Springer Undergraduate Mathematics Series
Item Width: 155 mm
Format: Paperback
