Derivative Security Pricing

Techniques, Methods and Applications

Inbunden, Engelska, 2015

AvCarl Chiarella,Xue-Zhong He,Christina Sklibosios Nikitopoulos

2 429 kr

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The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling.

Produktinformation

Utgivningsdatum2015-04-07
Mått155 x 235 x 38 mm
Vikt1 088 g
FormatInbunden
SpråkEngelska
SerieDynamic Modeling and Econometrics in Economics and Finance
Antal sidor616
Upplaga2015
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783662459058

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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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