Derivative security pricing : techniques, methods and applications /: techniques, methods and applications. ([2015])

• Record Type: Book
• Further Information: Note: Carl Chiarella, He Xue-Zhong, Christina Sklibosios Nikitopoulos.
• Authors: Chiarella, Carl; He, Xue-Zhong; Nikitopoulos, Christina Sklibosios
• Contents: 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.
• Publisher Details: Heidelberg : Springer
• Publication Date: 2015
• Copyright Date: 2015
• Extent: 1 online resource
• Subjects: 332.6320151; Derivative securities -- Prices -- Mathematical models; BUSINESS & ECONOMICS -- Finance; Derivative securities -- Prices -- Mathematical models; Finance; Finance, general; Quantitative Finance; Macroeconomics/Monetary Economics//Financial Economics; Probability Theory and Stochastic Processes; Optimization; Operation Research/Decision Theory; Electronic books
• Languages: English
• ISBNs: 9783662459065; 3662459051; 9783662459058
• Related ISBNs: 366245906X; 9783662459058
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed April 1, 2015).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.