Lectures on Financial Mathematics
Discrete Asset Pricing
This is a short book on the fundamental concepts of the no-arbitrage theory of pricing financial derivatives. Its scope is limited to the general discrete setting of models for which the set of possible states is finite and so is the set of possible trading times--this includes the popular binomial tree model. This setting has the advantage of being fairly general while not requiring a sophisticated understanding of analysis at the graduate level. Topics include understanding the several variants of arbitrage, the fundamental theorems of asset pricing in terms of martingale measures, and applications to forwards and futures.The authors' motiv…
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Produktdetails
Weitere Autoren: Anderson, Greg
- ISBN: 978-3-031-01271-6
- EAN: 9783031012716
- Produktnummer: 39048602
- Verlag: Springer International Publishing
- Sprache: Englisch
- Erscheinungsjahr: 2010
- Seitenangabe: 64 S.
- Masse: H23.5 cm x B19.1 cm x D0.3 cm 140 g
- Abbildungen: Paperback
- Gewicht: 140
Über den Autor
Greg Anderson is a director in the rates quant group at Bank of America Merrill Lynch. Previously, he was in the fixed income research group at MSCIBarra. He holds a PhD in mathematics from the University of California at Berkeley.Alec N. Kercheval is professor of mathematics at Florida State University, where he has been director of the financial mathematics graduate program. He earned a PhD in mathematics from the University of California, Berkeley, and has taught at Boston University, Indiana University, Bloomington and the University of Texas at Austin. Prior to arriving at Florida State University, he worked in the fixed income research group at MSCIBarra, a financial consulting firm in Berkeley, California.
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