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- W569868441 abstract "Basic concepts and objects of a financial market The elements of discrete stochastic analysis A stochastic model for a financial market. Arbitrage and completeness Pricing European options in complete markets. The binomial model and the Cox-Ross-Rubinstein formula Pricing and hedging American options in complete markets Financial computations on a complete market with the use of nonself-financing strategies Incomplete markets. Pricing of options and problems of minimizing risk The structure of prices of other instruments of a financial market. Forwards, futures, bonds The problem of optimal investment The concept of continuous models. Limiting transitions from a discrete market to a continuous one. The Black-Scholes formula Appendix 1 Appendix 2 Appendix 3 Hints for solving the problems Bibliography Subject index." @default.
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- W569868441 date "1999-01-01" @default.
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- W569868441 title "Financial markets : stochastic analysis and the pricing of derivative securities" @default.
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