Derivative Security Pricing, Softcover reprint of the original 1st ed. 2015 Techniques, Methods and Applications Dynamic Modeling and Econometrics in Economics and Finance Series, Vol. 21
Auteurs : Chiarella Carl, He Xue-Zhong, Sklibosios Nikitopoulos Christina
Part I The Fundamentals of Derivative Security Pricing.- 1 The Stock Option Problem.- 2 Stochastic Processes for Asset Price Modelling.- 3 An Initial Attempt at Pricing an Option.- 4 The Stochastic Differential Equation.- 5 Manipulating Stochastic Differential Equations and Stochastic Integrals.- 6 Ito's Lemma and Its Application.- 7 The Continuous Hedging Argument.- 8 Martingale Interpretation of No-Riskless Arbitrage.- 9 The Partial Differential Equation Approach Under Geometric Brownian Motion.- 10 Pricing Derivative Securities - A General Approach.- 11 Applying the General Pricing Framework.- 12 Jump-Diffusion Processes.- Option Pricing under Jump-Diffusion Processes.- 14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process.- 15 Stochastic Volatility.- 16 Pricing the American Feature.- 17 Pricing Options Using Binominal Trees.- 18 Volatility Smiles.- Part II Interest Rate Modelling.- 19 Allowing for Stochastic Interest Rates in the B-S Model.- 20 Change of Numeraire.- 21 The Paradigm Interest Rate Option Problem.- 22 Modelling Interest Rate Dynamics.- 23 Interest Rate Derivatives - One Factor Spot Rate Models.- 24 Interest Rate Derivatives - Multi-Factor Models.- 25 The Heath-Jarrow-Morton Framework.- 26 The LIBOR Market Model.
Focuses on the financial intuition of key results of derivative security pricing
Helps readers from both academia and industry without formal mathematical training to understand the fundamentals of mathematical finance
Includes theoretical and computational problems aiming to enhance the theoretical understanding as well as the applicability of the topics
Includes supplementary material: sn.pub/extras
Date de parution : 10-2016
Ouvrage de 616 p.
15.5x23.5 cm
Date de parution : 04-2015
Ouvrage de 616 p.
15.5x23.5 cm