Produktdetaljer
ISBN
9781107001695
Publisert
2012-09-13
Utgiver
Cambridge University Press
Vekt
420 gr
Høyde
235 mm
Bredde
156 mm
Dybde
15 mm
Aldersnivå
U, P, 05, 06
Språk
Product language
Engelsk
Format
Product format
Innbundet
Antall sider
178
Biografisk notat
Marek Capiński has published over 50 research papers and eleven 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 Kraków, Poland, where he established a Master's programme in mathematical finance. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, UK, 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 CUP AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.
Innbundet /
2012
/ Engelsk
816,-
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The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
Les mer
Preface; 1. Introduction; 2. Strategies and risk-neutral probability; 3. Option pricing and hedging; 4. Various extensions and applications; 5. Path-dependent options; 6. General models; Index.
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.
Les mer
Preface; 1. Introduction; 2. Strategies and risk-neutral probability; 3. Option pricing and hedging; 4. Various extensions and applications; 5. Path-dependent options; 6. General models; Index.
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Produktdetaljer
ISBN
9781107001695
Publisert
2012-09-13
Utgiver
Cambridge University Press
Vekt
420 gr
Høyde
235 mm
Bredde
156 mm
Dybde
15 mm
Aldersnivå
U, P, 05, 06
Språk
Product language
Engelsk
Format
Product format
Innbundet
Antall sider
178