skip to content
Derivative pricing in discrete time Preview this item
ClosePreview this item
Checking...

Derivative pricing in discrete time

Author: Nigel Cutland; Alet Roux
Publisher: London ; New York : Springer, ©2012.
Series: Springer undergraduate mathematics series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Derivatives 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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Printed edition:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nigel Cutland; Alet Roux
ISBN: 9781447144083 1447144082 1447144074 9781447144076
OCLC Number: 811251708
Description: 1 online resource.
Contents: Derivative 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.
Series Title: Springer undergraduate mathematics series.
Responsibility: Nigel J. Cutland, Alet Roux.
More information:

Abstract:

This book covers mathematical modeling of financial markets and rational pricing of derivatives, a theory which underpins modern financial practice. Emphasizing clarity and rigor throughout, the  Read more...

Reviews

Editorial reviews

Publisher Synopsis

From the reviews:"Derivative Pricing in Discrete Time introduces the basic ideas of financial derivatives with a minimum of prerequisites. ... Indeed, as an undergraduate-level mathematical treatment Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/811251708> # Derivative pricing in discrete time
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
    library:oclcnum "811251708" ;
    library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
    library:placeOfPublication <http://dbpedia.org/resource/London> ; # London
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
    schema:about <http://id.worldcat.org/fast/842780> ; # Business mathematics
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/mathematics> ; # Mathematics.
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/probability_theory_and_stochastic_processes> ; # Probability Theory and Stochastic Processes.
    schema:about <http://dewey.info/class/332.632015118/e23/> ;
    schema:about <http://id.worldcat.org/fast/891028> ; # Derivative securities--Prices--Mathematical models
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/finance_investment_banking> ; # Finance/Investment/Banking.
    schema:about <http://id.worldcat.org/fast/894973> ; # Discrete-time systems
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/finance> ; # Finance.
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/quantitative_finance> ; # Quantitative Finance.
    schema:about <http://experiment.worldcat.org/entity/work/data/1182626925#Thing/distribution_probability_theory> ; # Distribution (Probability theory)
    schema:about <http://id.loc.gov/authorities/subjects/sh2009123217> ; # Derivative securities--Prices--Mathematical models
    schema:bookFormat schema:EBook ;
    schema:contributor <http://viaf.org/viaf/300090645> ; # Alet Roux
    schema:copyrightYear "2012" ;
    schema:creator <http://viaf.org/viaf/84578411> ; # Nigel Cutland
    schema:datePublished "2012" ;
    schema:description "Derivative 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."@en ;
    schema:description "Derivatives 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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/1182626925> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://worldcat.org/issn/1615-2085> ; # Springer undergraduate mathematics series,
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1182626925#Series/springer_undergraduate_mathematics_series> ; # Springer undergraduate mathematics series.
    schema:isSimilarTo <http://worldcat.org/entity/work/data/1182626925#CreativeWork/> ;
    schema:name "Derivative pricing in discrete time"@en ;
    schema:productID "811251708" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/811251708#PublicationEvent/london_new_york_springer_2012> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/1182626925#Agent/springer> ; # Springer
    schema:url <http://dx.doi.org/10.1007/978-1-4471-4408-3> ;
    schema:url <https://link.springer.com/openurl?genre=book&isbn=978-1-4471-4407-6> ;
    schema:url <http://link.springer.com/openurl?genre=book&isbn=978-1-4471-4407-6> ;
    schema:url <http://catdir.loc.gov/catdir/enhancements/fy1306/2012946458-t.html> ;
    schema:url <http://link.springer.com/10.1007/978-1-4471-4408-3> ;
    schema:url <https://grinnell.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-1-4471-4408-3> ;
    schema:url <http://site.ebrary.com/id/10656753> ;
    schema:url <https://0-link-springer-com.pugwash.lib.warwick.ac.uk/10.1007/978-1-4471-4408-3> ;
    schema:url <http://proxy.library.carleton.ca/login?url=http://dx.doi.org/10.1007/978-1-4471-4408-3> ;
    schema:url <http://proxy.library.carleton.ca/login?url=http://books.scholarsportal.info/viewdoc.html?id=/ebooks/ebooks3/springer/2013-08-13/2/9781447144083> ;
    schema:workExample <http://worldcat.org/isbn/9781447144076> ;
    schema:workExample <http://worldcat.org/isbn/9781447144083> ;
    schema:workExample <http://dx.doi.org/10.1007/978-1-4471-4408-3> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/811251708> ;
    .


Related Entities

<http://dbpedia.org/resource/London> # London
    a schema:Place ;
    schema:name "London" ;
    .

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
    schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/1182626925#Series/springer_undergraduate_mathematics_series> # Springer undergraduate mathematics series.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/811251708> ; # Derivative pricing in discrete time
    schema:name "Springer undergraduate mathematics series." ;
    .

<http://experiment.worldcat.org/entity/work/data/1182626925#Thing/distribution_probability_theory> # Distribution (Probability theory)
    a schema:Thing ;
    schema:name "Distribution (Probability theory)" ;
    .

<http://experiment.worldcat.org/entity/work/data/1182626925#Thing/finance_investment_banking> # Finance/Investment/Banking.
    a schema:Thing ;
    schema:name "Finance/Investment/Banking." ;
    .

<http://experiment.worldcat.org/entity/work/data/1182626925#Thing/probability_theory_and_stochastic_processes> # Probability Theory and Stochastic Processes.
    a schema:Thing ;
    schema:name "Probability Theory and Stochastic Processes." ;
    .

<http://experiment.worldcat.org/entity/work/data/1182626925#Thing/quantitative_finance> # Quantitative Finance.
    a schema:Thing ;
    schema:name "Quantitative Finance." ;
    .

<http://id.loc.gov/authorities/subjects/sh2009123217> # Derivative securities--Prices--Mathematical models
    a schema:Intangible ;
    schema:name "Derivative securities--Prices--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/842780> # Business mathematics
    a schema:Intangible ;
    schema:name "Business mathematics"@en ;
    .

<http://id.worldcat.org/fast/891028> # Derivative securities--Prices--Mathematical models
    a schema:Intangible ;
    schema:name "Derivative securities--Prices--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/894973> # Discrete-time systems
    a schema:Intangible ;
    schema:name "Discrete-time systems"@en ;
    .

<http://viaf.org/viaf/300090645> # Alet Roux
    a schema:Person ;
    schema:familyName "Roux" ;
    schema:givenName "Alet" ;
    schema:name "Alet Roux" ;
    .

<http://viaf.org/viaf/84578411> # Nigel Cutland
    a schema:Person ;
    schema:familyName "Cutland" ;
    schema:givenName "Nigel" ;
    schema:name "Nigel Cutland" ;
    .

<http://worldcat.org/entity/work/data/1182626925#CreativeWork/>
    a schema:CreativeWork ;
    schema:description "Printed edition:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/811251708> ; # Derivative pricing in discrete time
    .

<http://worldcat.org/isbn/9781447144076>
    a schema:ProductModel ;
    schema:isbn "1447144074" ;
    schema:isbn "9781447144076" ;
    .

<http://worldcat.org/isbn/9781447144083>
    a schema:ProductModel ;
    schema:isbn "1447144082" ;
    schema:isbn "9781447144083" ;
    .

<http://worldcat.org/issn/1615-2085> # Springer undergraduate mathematics series,
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/811251708> ; # Derivative pricing in discrete time
    schema:issn "1615-2085" ;
    schema:name "Springer undergraduate mathematics series," ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.