Financial Derivatives

Pricing, Applications, and Mathematics
Erscheinungsjahr 2010
ISBN: 978-0-521-06679-2
Verlag: Cambridge University Press

Buch, Englisch, 352 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 572 g

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

Autoren/Hrsg.

Baz, Jamil

Chacko, George

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

1. Introduction; 2. Preliminary mathematics; 3. Principles of financial valuation; 4. Interest rate models; 5. Mathematics of asset pricing; 6. Bibliography.

Über Autor(innen)

Chacko, George
George Chacko is chief investment officer of Auda, a global asset management firm, in New York. He is also a professor at Santa Clara University, California, where he teaches finance. Dr Chacko previously served for ten years as a professor at Harvard Business School in the finance department. Dr Chacko held managing directorships in fixed income sales and trading at State Street Bank in Boston and in pension asset management at IFL in New York. He holds a B.S. from MIT, an M.B.A. from the University of Chicago, and an M.A. and Ph.D. from Harvard University.

Baz, Jamil
Jamil Baz is the chief investment strategist of GLG, a London-based hedge fund. Prior to holding this position, he was a portfolio manager with PIMCO in London, a managing director in the Proprietary Trading Group of Goldman Sachs, chief investment strategist of Deutsche Bank, and executive director of Lehman Brothers fixed income research division. Dr Baz teaches financial economics at Oxford University. He has degrees from the London School of Economics (M.Sc.), MIT (S.M.), and Harvard University (A.M., Ph.D.).