Buch, Englisch, 292 Seiten, Format (B × H): 177 mm x 280 mm, Gewicht: 454 g
Buch, Englisch, 292 Seiten, Format (B × H): 177 mm x 280 mm, Gewicht: 454 g
ISBN: 978-1-138-42617-7
Verlag: Taylor & Francis Ltd
Key features
A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book
A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts
Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics
The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach
Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book‘s ability to unify many disparate topics and models under a single conceptual theme.
James A Primbs is an Associate Professor of Finance at the Mihaylo College of Business and Economics at California State University, Fullerton.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Building Blocks. Ito's Lemma. Stochastic Differential Equations. The Factor Model Approach to Arbitrage Pricing. Constructing A Factor Pricing Framework. Equity Derivatives. Interest and Credit Derivatives.Hedging. The Road to Risk Neutrality.