LEADER 04504nam 22006975 450 001 9910438143203321 005 20200704233629.0 010 $a1-4471-4408-2 024 7 $a10.1007/978-1-4471-4408-3 035 $a(CKB)3400000000086041 035 $a(EBL)1081716 035 $a(OCoLC)811251708 035 $a(SSID)ssj0000766986 035 $a(PQKBManifestationID)11511279 035 $a(PQKBTitleCode)TC0000766986 035 $a(PQKBWorkID)10739598 035 $a(PQKB)11763275 035 $a(DE-He213)978-1-4471-4408-3 035 $a(MiAaPQ)EBC1081716 035 $a(MiAaPQ)EBC6311896 035 $a(PPN)168293404 035 $a(EXLCZ)993400000000086041 100 $a20120913d2013 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aDerivative Pricing in Discrete Time /$fby Nigel J. Cutland, Alet Roux 205 $a1st ed. 2013. 210 1$aLondon :$cSpringer London :$cImprint: Springer,$d2013. 215 $a1 online resource (328 p.) 225 1 $aSpringer Undergraduate Mathematics Series,$x1615-2085 300 $aDescription based upon print version of record. 311 $a1-4471-4407-4 320 $aIncludes bibliographical references and index. 327 $aDerivative 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. 330 $aDerivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets. This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative, which is defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The authors first examine the simplest possible financial model, which has only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black?Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study. 410 0$aSpringer Undergraduate Mathematics Series,$x1615-2085 606 $aEconomics, Mathematical 606 $aProbabilities 606 $aFinance 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 615 0$aEconomics, Mathematical. 615 0$aProbabilities. 615 0$aFinance. 615 14$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 615 24$aFinance, general. 676 $a332.6457 700 $aCutland$b Nigel J$4aut$4http://id.loc.gov/vocabulary/relators/aut$046036 702 $aRoux$b Alet$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910438143203321 996 $aDerivative Pricing in Discrete Time$92529628 997 $aUNINA