Binomial Models in Finance / Edition 1

Binomial Models in Finance / Edition 1

by John van der Hoek, Robert J Elliott
     
 

ISBN-10: 0387258981

ISBN-13: 9780387258980

Pub. Date: 12/08/2005

Publisher: Springer New York

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The

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Overview

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options.

Product Details

ISBN-13:
9780387258980
Publisher:
Springer New York
Publication date:
12/08/2005
Series:
Springer Finance / Springer Finance Textbooks Series
Edition description:
2006
Pages:
306
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

The Binomial Model for Sk Options.- The Binomial Model for Other Contracts.- Multiperiod Binomial Models.- Hedging.- Forward and Futures Contracts.- American and Exotic Option Pricing.- Path-Dependent Options.- The Greeks.- Dividends.- Implied Volatility Trees.- Implied Binomial Trees.- Interest Rate Models.- Real Options.- The Binomial Distribution.- An Application of Linear Programming.- Volatility Estimation.- Existence of a Solution.- Some Generalizations.- Yield Curves and Splines.

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