LEADER 01281nas a2200277 i 4500 001 991004085909707536 005 20231109125236.0 008 081215s 000 eng d 035 $ab13798261-39ule_inst 040 $aSet. Economia - SAGA$bita 082 04$a346.450705 229 3$aLa banca dati del commercialista 245 03$aLa banca dati del commercialista$h[risorsa elettronica] 260 $aMilano$bIl sole-24 ore 300 $aDVD-ROM ;$c12 cm 500 $aRequisiti del sistema: PC IBM o compatibile con processore Pentium o superiore; 64 MB RAM; 50 MB liberi su hard disk; Windows 2000, XP home edition, XP professional; Internet explorer 6.0 o successive; Acrobat reader 7.08; Adobe flash player 9.0; lettore di DVD-ROM 500 $aTit. dell'etichetta 592 $aLE025 2008- 650 4$aCommercialisti$xProfessione 907 $a.b13798261$b30-01-14$c15-12-08 912 $a991004085909707536 945 $aLE025$g1$lle025$o-$pE0.00$q-$rn$so $t14$u0$v0$w0$x0$y.i14904329$z15-12-08 945 $aLE025 SAGA$c2008 (dal 15/04/2008 al 14/04/2009)$g1$lle025$on$pE1,560.00$q-$rn$so $t14$u0$v0$w0$x0$y.i14904330$z15-12-08 996 $aBanca dati del commercialista$91224209 997 $aUNISALENTO 998 $ale025$b15-12-08$cs$dm $e-$fita$git $h3$i0 LEADER 03668oam 2200541I 450 001 9910155240903321 005 20240505174034.0 010 $a1-4987-6335-9 010 $a1-315-38029-3 010 $a1-4987-6333-2 024 7 $a10.1201/9781315380292 035 $a(CKB)3710000000973697 035 $a(MiAaPQ)EBC4771739 035 $a(OCoLC)967412449 035 $a(BIP)56539502 035 $a(BIP)62923504 035 $a(EXLCZ)993710000000973697 100 $a20180706h20142014 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 12$aA factor model approach to derivative pricing /$fJames A. Primbs, California State University, Fullerton, USA 205 $a1st ed. 210 1$aBoca Raton, Florida :$cCRC Press,$d[2014] 210 4$dİ2014 215 $a1 online resource (294 pages) $cillustrations 300 $a"A Chapman & Hall book"--title page. 311 08$a1-138-42617-2 311 08$a1-4987-6332-4 320 $aIncludes bibliographical references and index. 327 $achapter 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. 330 $aWritten 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 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. 606 $aDerivative securities$xPrices 606 $aDerivative securities$xMathematical models 606 $aAssets (Accounting) 615 0$aDerivative securities$xPrices. 615 0$aDerivative securities$xMathematical models. 615 0$aAssets (Accounting) 676 $a332.6457 700 $aPrimbs$b James A.$01210699 801 0$bFlBoTFG 801 1$bFlBoTFG 906 $aBOOK 912 $a9910155240903321 996 $aA factor model approach to derivative pricing$92794439 997 $aUNINA