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Original Essays | September 15, 2014

Lois Leveen: IMG Forsooth Me Not: Shakespeare, Juliet, Her Nurse, and a Novel



There's this writer, William Shakespeare. Perhaps you've heard of him. He wrote this play, Romeo and Juliet. Maybe you've heard of it as well. It's... Continue »
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Binomial Models in Finance (Springer Finance)

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Synopses & Reviews

Publisher Comments:

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. From the reviews: "Overall, this is an excellent 'workbook' for practitioners who seek to understand and apply financial asset price models by working through a comprehensive collection of both theoretical and dataset-driven numerical examples, follwoed by up to 15 end-of-chapter exercises with elaborated parts taht help clarify the mathematical and computational aspects of the chapter." Wai F. Chiu for the Journal of the American Statistical Association, December 2006

Synopsis:

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. From the reviews: "Overall, this is an excellent 'workbook' for practitioners who seek to understand and apply financial asset price models by working through a comprehensive collection of both theoretical and dataset-driven numerical examples, follwoed by up to 15 end-of-chapter exercises with elaborated parts taht help clarify the mathematical and computational aspects of the chapter." Wai F. Chiu for the Journal of the American Statistical Association, December 2006

Synopsis:

This book describes the modeling of prices of financial assets in a simple discrete time, discrete state, binomial framework. By avoiding the mathematical technicalities of continuous time finance, the material will be accessible to a wide audience. Some of the developments and formulae appear here for the first time in book form. The book will appeal to MBA students, upper level undergraduate students, beginning doctoral students, quantitative analysts at a basic level, and senior executives who want material on new developments in finance at an accessible level. The basic building block in the book is the one step binomial model where a known price today can take one or two possible values at the next time, which might, for example, be tomorrow, or next month, or next year. 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. In a few places, multinomial models are discussed to explain the notions of incomplete markets, and how pricing can be discussed in such a context, where unique prices are no longer available.

Table of Contents

Introduction.- The binomial model for stock 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.

Product Details

ISBN:
9780387258980
Author:
Van Der Hoek, John
Publisher:
Springer
Author:
Elliott, Robert J.
Author:
Hoek, John Van Der
Subject:
Finance
Subject:
Statistics
Subject:
Mathematical models
Subject:
Options (finance)
Subject:
Game Theory
Subject:
Options (Finance) -- Prices.
Subject:
Derivative securities -- Mathematical models.
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Game Theory/Mathematical Methods
Subject:
Quantitative Finance
Subject:
Quantitative Finance <P>This book describes the modeling of prices of financial assets in a simple discrete time, discrete state, binomial framework. By avoiding the mathematical technicalities of continuous time finance, the material will be accessible t
Subject:
Mathematics - Statistics
Copyright:
Edition Number:
1
Edition Description:
Book
Series:
Springer Finance / Springer Finance Textbooks
Publication Date:
December 2005
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
320
Dimensions:
235 x 155 mm 1380 gr

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Related Subjects

Business » Accounting and Finance
Business » General
Business » Management
Business » Writing
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » General
Science and Mathematics » Mathematics » Geometry » Geometry and Trigonometry
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Binomial Models in Finance (Springer Finance) New Hardcover
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$190.25 In Stock
Product details 320 pages Not Avail - English 9780387258980 Reviews:
"Synopsis" by , 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. From the reviews: "Overall, this is an excellent 'workbook' for practitioners who seek to understand and apply financial asset price models by working through a comprehensive collection of both theoretical and dataset-driven numerical examples, follwoed by up to 15 end-of-chapter exercises with elaborated parts taht help clarify the mathematical and computational aspects of the chapter." Wai F. Chiu for the Journal of the American Statistical Association, December 2006
"Synopsis" by , This book describes the modeling of prices of financial assets in a simple discrete time, discrete state, binomial framework. By avoiding the mathematical technicalities of continuous time finance, the material will be accessible to a wide audience. Some of the developments and formulae appear here for the first time in book form. The book will appeal to MBA students, upper level undergraduate students, beginning doctoral students, quantitative analysts at a basic level, and senior executives who want material on new developments in finance at an accessible level. The basic building block in the book is the one step binomial model where a known price today can take one or two possible values at the next time, which might, for example, be tomorrow, or next month, or next year. 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. In a few places, multinomial models are discussed to explain the notions of incomplete markets, and how pricing can be discussed in such a context, where unique prices are no longer available.
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