Del 21 i serien Dynamic Modeling and Econometrics in Economics and Finance

Derivative Security Pricing

Techniques, Methods and Applications

Inbunden, Engelska, 2015

AvCarl Chiarella,Xue-Zhong He,Christina Sklibosios Nikitopoulos

2 559 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

2 479 kr

Skickas inom 10-15 vardagar

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

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap

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.

Mer från samma författare

Reconstructing Keynesian Macroeconomics Volume 3

Carl Chiarella, Peter Flaschel, Willi Semmler

Häftad

869 kr

Monetary Macrodynamics

Toichiro Asada, Carl Chiarella, Peter Flaschel, Reiner Franke

Inbunden

1 929 kr

Financial Markets and the Macroeconomy

Carl Chiarella, Peter Flaschel, Reiner Franke, Willi Semmler

Häftad

1 089 kr

Reconstructing Keynesian Macroeconomics Volume 1

Carl Chiarella, Peter Flaschel, Willi Semmler

Inbunden

3 119 kr

Reconstructing Keynesian Macroeconomics Volume 2

Carl Chiarella, Peter Flaschel, Willi Semmler

Inbunden

2 939 kr

Reconstructing Keynesian Macroeconomics Volume 3

Carl Chiarella, Peter Flaschel, Willi Semmler

Inbunden

3 669 kr

Monetary Macrodynamics

Toichiro Asada, Carl Chiarella, Peter Flaschel, Reiner Franke

Häftad

599 kr

Financial Markets and the Macroeconomy

Carl Chiarella, Peter Flaschel, Reiner Franke, Willi Semmler

Inbunden

3 119 kr

Del 277

Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels

Carl Chiarella, Reiner Franke, Peter Flaschel, Willi Semmler

Inbunden

2 799 kr

Del 12

Commerce, Complexity, and Evolution

William A. Barnett, Carl Chiarella, Steve Keen, Robert Marks, Hermann Schnabl

Häftad

899 kr

Mer från samma serie

Optimization in Economics and Finance

Bruce D. Craven, Sardar M. N. Islam

Inbunden

1 379 kr

Modern Linear and Nonlinear Econometrics

Joseph Plasmans

Inbunden

2 129 kr

Dynamic Modeling of Monetary and Fiscal Cooperation Among Nations

Joseph E.J.K Plasmans, Jacob Engwerda, Bas van Aarle, Giovanni di Bartolomeo, Tomasz Michalak

Inbunden

2 129 kr

Stochastic Volatility in Financial Markets

Antonio Mele, Fabio Fornari

Inbunden

1 419 kr

Nonlinear Time Series Analysis of Economic and Financial Data

Philip Rothman

Inbunden

4 249 kr

Nonlinear Time Series Workshop

Douglas M. Patterson, Richard A. Ashley

Inbunden

2 129 kr

Contributions to Modern Econometrics

Ingo Klein, Stefan Mittnik

Inbunden

1 419 kr

Dynamic Programming in Economics

Cuong Van, Rose-Anne Dana

Inbunden

2 069 kr

Empirical Studies on Volatility in International Stock Markets

Eugenie M.J.H. Hol

Inbunden

1 419 kr

Optimization in Economics and Finance

Bruce D. Craven, Sardar M. N. Islam

Häftad

1 379 kr

Du kanske också är intresserad av

Del 18

Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane

Häftad

1 379 kr

Contributions to Modern Econometrics

Ingo Klein, Stefan Mittnik

Häftad

1 419 kr

Del 21

Derivative Security Pricing

Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos

Häftad

2 479 kr

Dynamic Systems, Economic Growth, and the Environment

Jesús Crespo Cuaresma, Tapio Palokangas, Alexander Tarasyev

Inbunden

1 419 kr

Dynamic Analysis in Complex Economic Environments

Herbert Dawid, Jasmina Arifovic

Häftad

1 989 kr

Stochastic Volatility in Financial Markets

Antonio Mele, Fabio Fornari

Häftad

1 419 kr

Dynamic Economic Problems with Regime Switches

Josef L. Haunschmied, Raimund M. Kovacevic, Willi Semmler, Vladimir M. Veliov

Häftad

2 069 kr

Del 12

Dynamic Systems, Economic Growth, and the Environment

Jesús Crespo Cuaresma, Tapio Palokangas, Alexander Tarasyev

Häftad

1 419 kr

Nyhet

Del 32

Economic Dynamics and Distributions

Paulo B. Brito

Inbunden

1 239 kr

Optimization in Economics and Finance

Bruce D. Craven, Sardar M. N. Islam

Häftad

1 379 kr