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Record Nr. |
UNINA9910155240903321 |
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Autore |
Primbs James A. |
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Titolo |
A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA |
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Pubbl/distr/stampa |
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Boca Raton, Florida : , : CRC Press, , [2014] |
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©2014 |
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ISBN |
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1-4987-6335-9 |
1-315-38029-3 |
1-4987-6333-2 |
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Descrizione fisica |
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1 online resource (294 pages) : illustrations |
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Disciplina |
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Soggetti |
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Derivative securities - Prices |
Derivative securities - Mathematical models |
Assets (Accounting) |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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"A Chapman & Hall book"--title page. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity derivatives -- chapter 7. Interest rate and credit derivatives -- chapter 8. Hedging -- chapter 9. Computation of solutions -- chapter 10. The road to risk neutrality. |
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