Binomial Models in Finance
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
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Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg E. Kopp W. Schachermayer
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics. M. Ammann, Credit Risk Valuation: Methods, Models, and Application (2001) K. Back, A Course in Derivative Securities: Introduction to Theory and Computation (2005) E. Barucci, Financial Markets Theory. Equilibrium, Efficiency and Information (2003) T.R. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging (2002) N.H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (1998, 2nd ed. 2004) D. Brigo and F. Mercurio, Interest Rate Models: Theory and Practice (2001) R. Buff, Uncertain Volatility Models-Theory and Application (2002) R.A. Dana and M. Jeanblanc, Financial Markets in Continuous Time (2002) G. Deboeck and T. Kohonen (Editors), Visual Explorations in Finance with SelfOrganizing Maps (1998) R.J. Elliott and P.E. Kopp, Mathematics of Financial Markets (1999, 2nd ed. 2005) H. Geman, D. Madan, S. R. Pliska and T. Vorst (Editors), Mathematical FinanceBachelier Congress 2000 (2001) M. Gundlach, F. Lehrbass (Editors), CreditRisk+ in the Banking Industry (2004) B.P. Kellerhals, Asset Pricing (2004) Y.-K. Kwok, Mathematical Models of Financial Derivatives (1998) M. Külpmann, Irrational Exuberance Reconsidered (2004) P. Malliavin and A. Thalmaier, Stochastic Calculus of Variations in Mathematical Finance (2005) A. Meucci, Risk and Asset Allocation (2005) A. Pelsser, Efficient Methods for Valuing Interest Rate Derivatives (2000) J.-L. Prigent, Weak Convergence of Financial Markets (2003) B. Schmid, Credit Risk Pricing Models (2004) S.E. Shreve, Stochastic Calculus for Finance I (2004) S.E. Shreve, Stochastic Calculus for Finance II (2004) M. Yor, Exponential Functionals of Brownian Motion and Related Processes (2001) R. Zagst, Interest-Rate Management (2002) Y.-L. Zhu, X. Wu, I.-L. Chern, Derivative Securities and Difference Methods (2004) A. Ziegler, Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (2003) A. Ziegler, A Game Theory Analysis of Options (2004)
John van der Hoek and Robert J. Elliott
Binomial Models in Finance With 3 Figures and 25 Tables
John van der Hoek Discipline of Applied Mathematics University of Adelaide Adelaide S.A. 5005 Australia e-mail: [email protected]
Robert J. Elliott Haskayne School of Business Scurfield Hall University of Calgary 2500 University Drive NW Calgary, Alberta, Canada T2N 1N4 e-mail:[email protected]
Mathematics Subject Classification (2000): 91B28, 60H30 Library of Congress Control Number: 2005934996 ISBN-10 0-387-25898-1 ISBN-13 978-0-387-25898-0 Printed on acid-free paper. © 200
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