Derivative Pricing in Discrete Time
Derivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets.This book provides an introduction to the mathematical mode
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Advisory Board M.A.J. Chaplain University of Dundee, Dundee, Scotland, UK K. Erdmann University of Oxford, Oxford, England, UK A. MacIntyre Queen Mary, University of London, London, England, UK E. Süli University of Oxford, Oxford, England, UK M.R. Tehranchi University of Cambridge, Cambridge, England, UK J.F. Toland University of Bath, Bath, England, UK
For further volumes: www.springer.com/series/3423
Nigel J. Cutland r Alet Roux
Derivative Pricing in Discrete Time
Nigel J. Cutland Department of Mathematics University of York York, UK
Alet Roux Department of Mathematics University of York York, UK
ISSN 1615-2085 Springer Undergraduate Mathematics Series ISBN 978-1-4471-4407-6 ISBN 978-1-4471-4408-3 (eBook) DOI 10.1007/978-1-4471-4408-3 Springer London Heidelberg New York Dordrecht Library of Congress Control Number: 2012946458 Mathematics Subject Classification: 91G20 © Springer-Verlag London 2012 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
Mathematical finance—the mathematical theory of financial markets—not only underpins modern financial practice, but is a thriving area of mathematical research. This book provides an introduction to the way in which real world financial markets are modelled, and how derivatives can be priced in a rational way. Der
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