LEADER 04472nam 22007453u 450 001 9910139247603321 005 20211126101550.0 010 $a9781118557860 010 $a1-118-55786-7 010 $a1-118-61866-1 010 $a1-299-31536-4 010 $a1-118-61877-7 035 $a(CKB)2560000000100617 035 $a(EBL)1143524 035 $a(OCoLC)830161848 035 $a(SSID)ssj0000833059 035 $a(PQKBManifestationID)11530844 035 $a(PQKBTitleCode)TC0000833059 035 $a(PQKBWorkID)10935327 035 $a(PQKB)11628839 035 $a(MiAaPQ)EBC1143524 035 $a(Au-PeEL)EBL1143524 035 $a(CaPaEBR)ebr11099153 035 $a(CaONFJC)MIL462786 035 $a(EXLCZ)992560000000100617 100 $a20131014d2013|||| u|| | 101 0 $aeng 135 $aurcn|---uuuuu 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aDiscrete-time Asset Pricing Models in Applied Stochastic Finance /$fP. C. G. Vassiliou 205 $aFirst edition. 210 1$aHoboken :$cJohn Wiley,$d2013. 210 4$d2010 215 $a1 online resource (418 pages) 225 1 $aISTE 300 $aDescription based upon print version of record. 311 1 $a1-84821-158-9 327 $aCHAPTER 1. Probability and Random Variables -- CHAPTER 2. An Introduction to Financial Instruments and Derivatives -- CHAPTER 3. Conditional Expectation and Markov Chains -- CHAPTER 4. The No-Arbitrage Binomial Pricing Model -- CHAPTER 5. Martingales -- CHAPTER 6. Equivalent Martingale Measures, No-Arbitrage and Complete Markets -- CHAPTER 7. American Derivative Securities -- CHAPTER 8. Fixed-Income Markets and Interest Rates -- CHAPTER 9. Credit Risk -- CHAPTER 10. The Heath-Jarrow-Morton Model. 330 $aStochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included. The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course. 606 $aSecurities$xMathematical models$xPrices 606 $aCapital assets pricing model$xMathematical models 606 $aStochastic analysis 606 $aFinance 608 $aElectronic books. 615 0$aSecurities$xMathematical models$xPrices 615 0$aCapital assets pricing model$xMathematical models 615 0$aStochastic analysis 615 0$aFinance 676 $a332.0151 676 $a332.63/22201 676 $a332.6322201 686 $aMAT 600f$2stub 686 $aMAT 606f$2stub 686 $aWIR 160f$2stub 700 $aVassiliou$b P. C. G.$0927343 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 801 2$b6680 906 $aBOOK 912 $a9910139247603321 996 $aDiscrete-time Asset Pricing Models in Applied Stochastic Finance$92083568 997 $aUNINA