Discrete Models Of Financial Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Discrete Models Of Financial Markets PDF full book. Access full book title Discrete Models Of Financial Markets.
Author | : P. E. Kopp |
Publisher | : |
Total Pages | : 194 |
Release | : 2014-05-14 |
Genre | : Finance |
ISBN | : 9781139233583 |
Download Discrete Models of Financial Markets Book in PDF, ePub and Kindle
An excellent basis for further study. Suitable even for readers with no mathematical background.
Author | : Marek Capiński |
Publisher | : |
Total Pages | : 181 |
Release | : 2012 |
Genre | : Finance |
ISBN | : 9781139229135 |
Download Discrete Models of Financial Markets Book in PDF, ePub and Kindle
"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"--
Author | : Marek Capiński |
Publisher | : Cambridge University Press |
Total Pages | : 193 |
Release | : 2012-02-23 |
Genre | : Business & Economics |
ISBN | : 110700263X |
Download Discrete Models of Financial Markets Book in PDF, ePub and Kindle
An excellent basis for further study. Suitable even for readers with no mathematical background.
Author | : Yuliya Mishura |
Publisher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 390 |
Release | : 2021-10-25 |
Genre | : Mathematics |
ISBN | : 3110654245 |
Download Discrete-Time Approximations and Limit Theorems Book in PDF, ePub and Kindle
Financial market modeling is a prime example of a real-life application of probability theory and stochastics. This authoritative book discusses the discrete-time approximation and other qualitative properties of models of financial markets, like the Black-Scholes model and its generalizations, offering in this way rigorous insights on one of the most interesting applications of mathematics nowadays.
Author | : Yuliya Mishura |
Publisher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 222 |
Release | : 2021-10-25 |
Genre | : Mathematics |
ISBN | : 3110652994 |
Download Discrete-Time Approximations and Limit Theorems Book in PDF, ePub and Kindle
The De Gruyter Series in Probability and Stochastics is devoted to the publication of high-level monographs and specialized graduate texts in any branch of modern probability theory and stochastics, along with their numerous applications in other parts of mathematics, physics and informatics, in economics and finance, and in the life sciences. The aim of the series is to present recent research results in the form of authoritative and comprehensive works that will serve the probability and stochastics community as basis for further research. Editorial Board Itai Benjamini, Weizmann Institute of Science, Israel Jean Bertoin, Universität Zürich, Switzerland Michel Ledoux, Université de Toulouse, France René L. Schilling, Technische Universität Dresden, Germany
Author | : Robert J Elliott |
Publisher | : Springer Science & Business Media |
Total Pages | : 298 |
Release | : 2013-11-11 |
Genre | : Mathematics |
ISBN | : 1475771460 |
Download Mathematics of Financial Markets Book in PDF, ePub and Kindle
This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.
Author | : Stanley R. Pliska |
Publisher | : Wiley |
Total Pages | : 276 |
Release | : 1997-07-07 |
Genre | : Business & Economics |
ISBN | : 9781557869456 |
Download Introduction to Mathematical Finance Book in PDF, ePub and Kindle
The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergraduates and beginning graduate students. It is also likely to be useful to practicing financial engineers, portfolio manager, and actuaries who wish to acquire a fundamental understanding of financial theory. The book makes heavy use of mathematics, but not at an advanced level. Various mathematical concepts are developed as needed, and computational examples are emphasized.
Author | : Yue-Kuen Kwok |
Publisher | : Springer Science & Business Media |
Total Pages | : 541 |
Release | : 2008-07-10 |
Genre | : Mathematics |
ISBN | : 3540686886 |
Download Mathematical Models of Financial Derivatives Book in PDF, ePub and Kindle
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Author | : Gilles Zumbach |
Publisher | : Springer Science & Business Media |
Total Pages | : 326 |
Release | : 2012-10-04 |
Genre | : Mathematics |
ISBN | : 3642317421 |
Download Discrete Time Series, Processes, and Applications in Finance Book in PDF, ePub and Kindle
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
Author | : Marek Capiński |
Publisher | : Cambridge University Press |
Total Pages | : 187 |
Release | : 2012-08-23 |
Genre | : Business & Economics |
ISBN | : 1107002648 |
Download Stochastic Calculus for Finance Book in PDF, ePub and Kindle
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.