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- DescriptionThis book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, bimial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step bimial model where a kwn price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation risk neutral pricing can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multimial models to explain the tions of incomplete markets and how pricing can be viewed in such a context, where unique prices are longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using bimial models. More precise modelling issues such as implied volatility trees and implied bimial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.
- Author(s)John van der Hoek,Robert J. Elliott
- PublisherSpringer-Verlag New York Inc.
- Date of Publication12/02/2010
- Series TitleSpringer Finance
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Notebiography
- Weight431 g
- Width152 mm
- Height229 mm
- Spine17 mm
- Format DetailsTrade paperback (US)
- Edition StatementSoftcover reprint of hardcover 1st ed. 2006
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