Introduction to derivative instruments pricing
Introduction to derivative instruments pricing

Author(s): Paweł Kliber
Subject(s): Economy, Business Economy / Management, Financial Markets
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu
Keywords: martingale pricing;discrete models of financial markets;arbitrage-free model;complete market;contingent claim;derivative instruments;First Fundamental Theorem;martingale measure;
Summary/Abstract: The paper provides an introduction to methods used in the derivative instruments pricing. We present here the techniques of building formal models of financial markets. We also describe the basic notions connected with mathematical modelling in finance (such as arbitrage, risk-neutral measures and martingale pricing). We concentrate here on discrete time models (i.e. models with finite time horizon and sample space).

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