The Black-Scholes Model - Brossura

Capinski, Marek

Brossura

ISBN 10: 0521173000 ISBN 13: 9780521173001

Casa editrice: Cambridge University Press, 2012

Riassunto

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.

Su questo libro

Descrizione del libro:

The authors focus on the key mathematical model used by finance practitioners, the Black–Scholes model, to explore the basic methodology of option pricing with a variety of derivative securities. Students, practitioners and researchers will benefit from the rigorous, but unfussy, approach to technical issues.

L'autore:

Marek Capiński 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.

Su questa edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 2012
• ISBN 10: 0521173000
• ISBN 13: 9780521173001
• Rilegatura: Copertina flessibile
• Numero di pagine: 178