Essays on Derivatives Pricing Theory
Author | : Ronald C. Heynen |
Publisher | : |
Total Pages | : 228 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : |
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Author | : Ronald C. Heynen |
Publisher | : |
Total Pages | : 228 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : |
Author | : Don M. Chance |
Publisher | : John Wiley & Sons |
Total Pages | : 403 |
Release | : 2011-07-05 |
Genre | : Business & Economics |
ISBN | : 1118160649 |
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 | : Wulin Suo |
Publisher | : National Library of Canada = Bibliothèque nationale du Canada |
Total Pages | : 276 |
Release | : 2002 |
Genre | : |
ISBN | : 9780612691834 |
Author | : Anand Mohan Vijh |
Publisher | : |
Total Pages | : 272 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Ronnie Söderman |
Publisher | : |
Total Pages | : 134 |
Release | : 2001 |
Genre | : Derivative securities |
ISBN | : 9789515556714 |
Author | : Robert A Jarrow |
Publisher | : World Scientific |
Total Pages | : 609 |
Release | : 2008-10-08 |
Genre | : Business & Economics |
ISBN | : 9814470635 |
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 |
Publisher | : John Wiley & Sons |
Total Pages | : 631 |
Release | : 2024-01-25 |
Genre | : Business & Economics |
ISBN | : 1394179669 |
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 | : Jeremy Joseph Evnine |
Publisher | : |
Total Pages | : 288 |
Release | : 1983 |
Genre | : Options (Finance) |
ISBN | : |
Author | : Ramesh K. Rao |
Publisher | : |
Total Pages | : 94 |
Release | : 1986 |
Genre | : |
ISBN | : |
Author | : Don M. Chance |
Publisher | : Wiley |
Total Pages | : 333 |
Release | : 1998-08-15 |
Genre | : Business & Economics |
ISBN | : 9781883249465 |
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.