Bibliografische Daten
ISBN/EAN: 9780387401003
Sprache: Englisch
Umfang: xv, 187 S., 33 s/w Illustr., 33 s/w Zeichng.
Format (T/L/B): 1.5 x 24 x 16 cm
Einband: gebundenes Buch
Beschreibung
Inhaltsangabe1. The Binomial No-Arbitrage Pricing Model 1.1. OnePeriod Binomial Model 1.2. Multiperiod Binomial Model 1.3. Computational Considerations 1.4. Summary 1.5. Notes 1.6. Exercises 2. Probability Theory on Coin Toss Space 2.1. Finite Probability Spaces 2.2. Random Variables, Distributions, and Expectations 2.3. Conditional Expectations 2.4. Martingales 2.5. Markov Processes 2.6. Summary 2.7. Notes 2.8. Exercises 3. State Prices 3.1. Change of Measure 3.2. RadonNikod\'ym Derivative Process 3.3. Capital Asset Pricing Model 3.4. Summary 3.5. Notes 3.6. Exercises 4. American Derivative Securities 4.1. Introduction 4.2. NonPathDependent American Derivatives 4.3. Stopping Times 4.4. General American Derivatives 4.5. American Call Options 4.6. Summary 4.7. Notes 4.8. Exercises 5. Random Walk 5.1. Introduction 5.2. First Passage Times 5.3. Reflection Principle 5.4. Perpetual American Put: An Example 5.5. Summary 5.6. Notes 5.7. Exercises 6. InterestRateDependent Assets 6.1. Introduction 6.2. Binomial Model for Interest Rates 6.3. FixedIncome Derivatives 6.4. Forward Measures 6.5. Futures 6.6. Summary 6.7. Notes 6.8. Exercises Proof of Fundamental Properties of Conditional Expectations References Index
Produktsicherheitsverordnung
Hersteller:
Springer Verlag GmbH
juergen.hartmann@springer.com
Tiergartenstr. 17
DE 69121 Heidelberg
Autorenportrait
Leseprobe
Leseprobe
Inhalt
The Binomial No-Arbitrage Pricing Model.- Probability Theory on Coin-Toss Space.- State Prices.- American Derivative Securities.- Random Walk.- Interest rate dependent assets.
