Derivative Security Pricing: Techniques, Methods and Applications - Couverture rigide

Livre 13 sur 20: Dynamic Modeling and Econometrics in Economics and Finance

Chiarella, Carl ; He, Xue-Zhong ; Sklibosios Nikitopoulos, Christina

9783662459058: Derivative Security Pricing: Techniques, Methods and Applications

Couverture rigide

ISBN 10 : 3662459051 ISBN 13 : 9783662459058

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2015

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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.

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�diteur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'�dition: 2015
Langue: anglais
ISBN 10: 3662459051
ISBN 13: 9783662459058
Reliure: Reli�
Nombre de pages: 632
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Derivative Security Pricing: Techniques, Methods and Applications (eng)

Chiarella, Carl

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Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance, 21)

Chiarella, Carl; He, Xue-Zhong; Sklibosios Nikitopoulos, Christina

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Derivative Security Pricing

Carl Chiarella|Xue-Zhong He|Christina Sklibosios Nikitopoulos

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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Focuses on the financial intuition of key results of derivative security pricingHelps readers from both academia and industry without formal mathematical training to understand the fundamentals of mathematical financeIncludes theoretical an. N� de r�f. du vendeur 23111397

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Derivative Security Pricing

Carl Chiarella

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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 632 pp. Englisch. N� de r�f. du vendeur 9783662459058

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Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance)

Chiarella, Carl; He, Xue-Zhong; Sklibosios Nikitopoulos, Christina

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Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance)

Chiarella, Carl; He, Xue-Zhong; Sklibosios Nikitopoulos, Christina

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Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance)

Chiarella, Carl; He, Xue-Zhong; Sklibosios Nikitopoulos, Christina

Edit� par Springer, 2015

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Derivative Security Pricing

Carl Chiarella

Edit� par Springer Berlin Heidelberg, Springer Berlin Heidelberg Apr 2015, 2015

ISBN 10 : 3662459051 ISBN 13 : 9783662459058

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Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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 It�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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 632 pp. Englisch. N� de r�f. du vendeur 9783662459058

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Derivative Security Pricing : Techniques, Methods and Applications

Carl Chiarella

Edit� par Springer Berlin Heidelberg, Springer Berlin Heidelberg, 2015

ISBN 10 : 3662459051 ISBN 13 : 9783662459058

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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N� de r�f. du vendeur 9783662459058

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Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance, 21)

Chiarella, Carl, He, Xue-Zhong, Sklibosios Nikitopoulos, Chr

Edit� par Springer, 2015

ISBN 10 : 3662459051 ISBN 13 : 9783662459058

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