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Binomial Models in Finance


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Table of Contents

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.


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

"This is a textbook on the mathematics of pricing and hedging financial derivatives with discrete stochastic models. It is directed towards a readership that is interested in the principles and applications of mathematical finance ... . A nice feature is the very clear descriptions of financial terms, which, on the one hand, are often missing in more mathematics-oriented books and, on the other hand, can be somewhat imprecise in textbooks aiming at the business community." (A. Schied, Short Book Reviews, Vol. 26 (2), 2006)

"The book is written by leading specialists in modern stochastic financial modeling. ... The book is well written, with a good balance between mathematical tools and arguments and financial topics. It is nice to see proofs of several important properties of financial characteristics and rules for option pricing. Specific numerical examples are given to illustrate ideas and rules. ... Without any reservations the book can be strongly recommended not only to institutional libraries but also to anybody working or with interests in stochastic financial modeling." (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1107 (9), 2007)

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