Marek Capi¿ski: The Black-Scholes Model

Cover: 9780521173001 | The Black-Scholes Model | Marek Capi¿ski (u. a.) | Taschenbuch | 2012

Rückseite: 9780521173001 | The Black-Scholes Model | Marek Capi¿ski (u. a.) | Taschenbuch | 2012

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

Marek Capi¿ski 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.

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2012
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9780521173001
ISBN-10:	0521173000
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Capi¿ski, Marek Kopp, Ekkehard
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 11 mm
Von/Mit:	Marek Capi¿ski (u. a.)
Erscheinungsdatum:	13.09.2012
Gewicht:	0,27 kg