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| Author | : Thomas W Epps |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 644 |
| Release | : 2007-06-04 |
| Genre | : Business & Economics |
| ISBN | : 9814365432 |
Download Pricing Derivative Securities Book in PDF, ePub and Kindle
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 | : Eliezer Z. Prisman |
| Publisher | : Academic Press |
| Total Pages | : 788 |
| Release | : 2000-09-14 |
| Genre | : Business & Economics |
| ISBN | : 9780125649155 |
Download Pricing Derivative Securities Book in PDF, ePub and Kindle
CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text).
| Author | : Robert A. Jarrow |
| Publisher | : South Western Educational Publishing |
| Total Pages | : 738 |
| Release | : 1996 |
| Genre | : Business & Economics |
| ISBN | : |
Download Derivative Securities Book in PDF, ePub and Kindle
Accessible and intuitive, Derivative Securities offers advanced undergraduates, MBA students, and executives the theory and practical tools needed to price and hedge derivatives in the professional marketplace. Written by two of the foremost derivative pricing experts in the world, this text makes the theory and practice of pricing and hedging derivative securities accessible without watering down the material. Presentation is complete yet avoids advanced mathematics. Equal coverage is given to options pricing theory and futures pricing theory, and cutting-edge derivatives research is incorporated throughout. Derivatives pricing software is bound with each text.
| Author | : You-lan Zhu |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 663 |
| Release | : 2013-07-04 |
| Genre | : Mathematics |
| ISBN | : 1461473063 |
Download Derivative Securities and Difference Methods Book in PDF, ePub and Kindle
This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems. In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods in financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: “...the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS
| Author | : Peter Laurence |
| Publisher | : CRC Press |
| Total Pages | : 335 |
| Release | : 2017-11-22 |
| Genre | : Mathematics |
| ISBN | : 135142047X |
Download Quantitative Modeling of Derivative Securities Book in PDF, ePub and Kindle
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 609 |
| Release | : 2008-10-08 |
| Genre | : Business & Economics |
| ISBN | : 9814470635 |
Download Financial Derivatives Pricing: Selected Works Of Robert Jarrow Book in PDF, ePub and Kindle
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 | : Marcos C. S. Carreira |
| Publisher | : Springer |
| Total Pages | : 328 |
| Release | : 2016-07-11 |
| Genre | : Business & Economics |
| ISBN | : 113747727X |
Download Brazilian Derivatives and Securities Book in PDF, ePub and Kindle
The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
| Author | : Kerry Back |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 358 |
| Release | : 2005-10-11 |
| Genre | : Business & Economics |
| ISBN | : 3540279008 |
Download A Course in Derivative Securities Book in PDF, ePub and Kindle
"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
| Author | : Michael A. H. Dempster |
| Publisher | : Cambridge University Press |
| Total Pages | : 614 |
| Release | : 1997-10-13 |
| Genre | : Business & Economics |
| ISBN | : 9780521584241 |
Download Mathematics of Derivative Securities Book in PDF, ePub and Kindle
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
| Author | : Martin Baxter |
| Publisher | : Cambridge University Press |
| Total Pages | : 252 |
| Release | : 1996-09-19 |
| Genre | : Business & Economics |
| ISBN | : 9780521552899 |
Download Financial Calculus Book in PDF, ePub and Kindle
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
