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Author : Ronald C. Heynen
Publisher : Unknown
Page : 228 pages
File Size : 40,5 Mb
Release : 1995
Category : Business & Economics
ISBN : IND:30000057288973
Author : Wulin Suo
Publisher : National Library of Canada = Bibliothèque nationale du Canada
Page : 276 pages
File Size : 43,7 Mb
Release : 2002
Category : Electronic
ISBN : 0612691837
Author : Don M. Chance
Publisher : John Wiley & Sons
Page : 403 pages
File Size : 40,9 Mb
Release : 2011-07-05
Category : Business & Economics
ISBN : 9781118160640
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.
Author : Ronnie Söderman
Publisher : Unknown
Page : 134 pages
File Size : 40,9 Mb
Release : 2001
Category : Derivative securities
ISBN : 9515556716
Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 45,6 Mb
Release : 2024-06-26
Category : Electronic
ISBN : 9789814470636
Author : Jeremy Joseph Evnine
Publisher : Unknown
Page : 288 pages
File Size : 53,7 Mb
Release : 1983
Category : Options (Finance)
ISBN : UCAL:C2935733
Author : Anand Mohan Vijh
Publisher : Unknown
Page : 272 pages
File Size : 49,5 Mb
Release : 1987
Category : Electronic
ISBN : UCAL:C2926208
Author : Robert A. Jarrow
Publisher : World Scientific
Page : 609 pages
File Size : 55,7 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812819208
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.
Author : Robert E. Brooks,Don M. Chance
Publisher : John Wiley & Sons
Page : 631 pages
File Size : 45,5 Mb
Release : 2024-01-25
Category : Business & Economics
ISBN : 9781394179664
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.
Author : T. W. Epps
Publisher : World Scientific
Page : 644 pages
File Size : 40,7 Mb
Release : 2007
Category : Business & Economics
ISBN : 9789812700339
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.
Author : Roberto Dieci,Xue-Zhong He,Cars Hommes
Publisher : Springer
Page : 389 pages
File Size : 44,6 Mb
Release : 2014-07-26
Category : Business & Economics
ISBN : 9783319074702
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.
Author : Don M. Chance
Publisher : Wiley
Page : 333 pages
File Size : 49,6 Mb
Release : 1998-08-15
Category : Business & Economics
ISBN : 1883249465
Essays in Derivatives provides detailed coverage of various financial products related to derivatives in seven key areas: derivatives and their markets, the basic instruments, derivative pricing, derivative strategies, exotic instruments, and fixed income securities and derivatives.
Author : Ambar Sengupta
Publisher : Unknown
Page : 312 pages
File Size : 40,9 Mb
Release : 2005
Category : Business & Economics
ISBN : IND:30000101575482
Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
Author : Mikael Vikström
Publisher : Unknown
Page : 134 pages
File Size : 44,6 Mb
Release : 2001
Category : Approximation theory
ISBN : 9515556961
Author : Ser-Huang Poon
Publisher : John Wiley & Sons
Page : 236 pages
File Size : 53,6 Mb
Release : 2005-08-19
Category : Business & Economics
ISBN : 9780470856154
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
