Derivative Security Pricing Techniques, Methods and Applications /

The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental conce...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Chiarella, Carl (Συγγραφέας), He, Xue-Zhong (Συγγραφέας), Sklibosios Nikitopoulos, Christina (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015.
Σειρά:Dynamic Modeling and Econometrics in Economics and Finance, 21
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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024 7 |a 10.1007/978-3-662-45906-5  |2 doi 
040 |d GrThAP 
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072 7 |a KFF  |2 bicssc 
072 7 |a BUS027000  |2 bisacsh 
082 0 4 |a 332  |2 23 
100 1 |a Chiarella, Carl.  |e author. 
245 1 0 |a Derivative Security Pricing  |h [electronic resource] :  |b Techniques, Methods and Applications /  |c by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos. 
264 1 |a Berlin, Heidelberg :  |b Springer Berlin Heidelberg :  |b Imprint: Springer,  |c 2015. 
300 |a XVI, 616 p. 154 illus., 38 illus. in color.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
347 |a text file  |b PDF  |2 rda 
490 1 |a Dynamic Modeling and Econometrics in Economics and Finance,  |x 1566-0419 ;  |v 21 
505 0 |a 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.                   . 
520 |a The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field. 
650 0 |a Finance. 
650 0 |a Operations research. 
650 0 |a Decision making. 
650 0 |a Economics, Mathematical. 
650 0 |a Mathematical optimization. 
650 0 |a Probabilities. 
650 0 |a Macroeconomics. 
650 1 4 |a Finance. 
650 2 4 |a Finance, general. 
650 2 4 |a Quantitative Finance. 
650 2 4 |a Macroeconomics/Monetary Economics//Financial Economics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
650 2 4 |a Optimization. 
650 2 4 |a Operation Research/Decision Theory. 
700 1 |a He, Xue-Zhong.  |e author. 
700 1 |a Sklibosios Nikitopoulos, Christina.  |e author. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer eBooks 
776 0 8 |i Printed edition:  |z 9783662459058 
830 0 |a Dynamic Modeling and Econometrics in Economics and Finance,  |x 1566-0419 ;  |v 21 
856 4 0 |u http://dx.doi.org/10.1007/978-3-662-45906-5  |z Full Text via HEAL-Link 
912 |a ZDB-2-SBE 
950 |a Business and Economics (Springer-11643)