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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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Edizione |
[1st ed.] |
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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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Sommario/riassunto |
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Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. 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 |
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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. |
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