The Black-Scholes Model

The Black-Scholes Model

5 (1 rating by Goodreads)
  • Electronic book text
By (author)  , By (author) 

List price: US$32.00

Currently unavailable

We can notify you when this item is back in stock

Add to wishlist

AbeBooks may have this title (opens in new window).

Try AbeBooks

Description

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.show more

Product details

  • Electronic book text
  • CAMBRIDGE UNIVERSITY PRESS
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • 3 b/w illus. 60 exercises
  • 1139574949
  • 9781139574945

About Marek Capinski

Marek Capinski 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 Krakow, Poland, where he established a Master's programme in mathematical finance. Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, UK, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998-2008) and the CUP AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.show more

Table of contents

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.show more

Rating details

1 ratings
5 out of 5 stars
5 100% (1)
4 0% (0)
3 0% (0)
2 0% (0)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X