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.Read more
- Written specifically at the Master's level by experienced lecturers, so readers can dive in directly
- The mathematics is rigorous but also motivated, so readers see how to apply what they learn
- Clear, concise and short, so readers can master the whole topic
Reviews & endorsements
'The book could be used by a broad range of practitioners, such as analysts, risk managers, quants, consultants, and auditors in financial markets, as it provides an overview of all the basic terminologies and concepts of financial models.' Thomas S. Y. Ho, SIAM ReviewSee more reviews
'… clearly written … The exposition is of well-known material, using the classical notation, and plenty of exercises for the reader are integrated into the text.' George Matthews, Mathematics Today
Not yet reviewed
Be the first to review
Review was not posted due to profanity×
- Date Published: February 2012
- format: Paperback
- isbn: 9780521175722
- length: 192 pages
- dimensions: 227 x 152 x 12 mm
- weight: 0.31kg
- contains: 10 b/w illus. 95 exercises
- availability: Available
Table of Contents
2. Single-step asset pricing models
3. Multi-step binomial model
4. Multi-step general models
5. American options
6. Modelling bonds and interest rates
Find resources associated with this titleYour search for '' returned .
Type Name Unlocked * Format Size
This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.
Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.
Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.
If you are having problems accessing these resources please contact firstname.lastname@example.org.
Instructors have used or reviewed this title for the following courses
- Advanced Financial Management
- Applied Analytical Methods in Finance
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email email@example.comRegister Sign in
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.Continue ×
Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.×