Essays On Derivatives Pricing Theory
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Essays On Derivatives Pricing Theory
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Author : Ronald C. Heynen
language : en
Publisher:
Release Date : 1995
Essays On Derivatives Pricing Theory written by Ronald C. Heynen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
Essays In Derivatives
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Author : Don M. Chance
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-05
Essays In Derivatives written by Don M. Chance and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-05 with Business & Economics categories.
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Three Essays In The Use Of Option Pricing Theory
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Author : Jeremy Joseph Evnine
language : en
Publisher:
Release Date : 1983
Three Essays In The Use Of Option Pricing Theory written by Jeremy Joseph Evnine and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Options (Finance) categories.
Essays On Derivative Pricing Models Microform
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Author : Wulin Suo
language : en
Publisher: National Library of Canada = Bibliothèque nationale du Canada
Release Date : 2002
Essays On Derivative Pricing Models Microform written by Wulin Suo and has been published by National Library of Canada = Bibliothèque nationale du Canada this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Financial Derivatives Pricing
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Author :
language : en
Publisher:
Release Date :
Financial Derivatives Pricing written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Essays On Derivatives Risk Management
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Author : Ronnie Söderman
language : en
Publisher:
Release Date : 2001
Essays On Derivatives Risk Management written by Ronnie Söderman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Derivative securities categories.
Financial Derivatives Pricing
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Author : Robert A. Jarrow
language : en
Publisher: World Scientific
Release Date : 2008
Financial Derivatives Pricing written by Robert A. Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath?Jarrow?Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Foundations Of The Pricing Of Financial Derivatives
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Author : Robert E. Brooks
language : en
Publisher: John Wiley & Sons
Release Date : 2024-01-25
Foundations Of The Pricing Of Financial Derivatives written by Robert E. Brooks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-01-25 with Business & Economics categories.
An accessible and mathematically rigorous resource for masters and PhD students In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters’ students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations. The authors fill the gap left by books directed at masters’-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice. Readers will also find: Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms Review of material in calculus, probability theory, and asset pricing Coverage of both arithmetic and geometric Brownian motion Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers’ understanding of these essential models Deep discussion of essential concepts, like arbitrage, that broaden students’ understanding of the basis for derivative pricing Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives An effective and hands-on text for masters’-level and PhD students and beginning practitioners with an interest in financial derivatives pricing, Foundations of the Pricing of Financial Derivatives is an intuitive and accessible resource that properly balances math, theory, and practical applications to help students develop a healthy command of a difficult subject.
Nonlinear Economic Dynamics And Financial Modelling
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Author : Roberto Dieci
language : en
Publisher: Springer
Release Date : 2014-07-26
Nonlinear Economic Dynamics And Financial Modelling written by Roberto Dieci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-26 with Business & Economics categories.
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Pricing Derivative Securities
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Author : T. W. Epps
language : en
Publisher: World Scientific
Release Date : 2007
Pricing Derivative Securities written by T. W. Epps and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.