Derivative Security Pricing Techniques, Methods and Applications /

• 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: Finance.; Operations research.; Decision making.; Economics, Mathematical.; Mathematical optimization.; Probabilities.; Macroeconomics.; Finance, general.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Probability Theory and Stochastic Processes.; Optimization.; Operation Research/Decision Theory.

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...

Πίνακας περιεχομένων:

• 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.                   .