LEADER 05304nam 2200625Ia 450 001 9910813911403321 005 20240313222440.0 010 $a981-281-922-3 035 $a(CKB)1000000000766259 035 $a(EBL)1193515 035 $a(SSID)ssj0000518112 035 $a(PQKBManifestationID)12181192 035 $a(PQKBTitleCode)TC0000518112 035 $a(PQKBWorkID)10491615 035 $a(PQKB)11743957 035 $a(MiAaPQ)EBC1193515 035 $a(WSP)00002170 035 $a(Au-PeEL)EBL1193515 035 $a(CaPaEBR)ebr10688029 035 $a(CaONFJC)MIL498398 035 $a(OCoLC)826660612 035 $a(EXLCZ)991000000000766259 100 $a20090217d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial derivatives pricing $eselected works of Robert Jarrow /$fRobert A. Jarrow 205 $a1st ed. 210 $aHackensack, NJ $cWorld Scientific$dc2008 215 $a1 online resource (608 p.) 300 $aDescription based upon print version of record. 311 $a981-281-920-7 320 $aIncludes bibliographical references. 327 $aAcknowledgments; Preface; Foreword; Contents; Part I. Option Pricing Theory and its Foundations; Introduction; References; 1. Approximate Option Valuation for Arbitrary Stochastic Processes R. Jarrow and A. Rudd; 1. Introduction; 2. Approximating distribution; 3. Approximate option valuation formula; 4. Approximating option values with the Black-8cboles formula; 5. N umerieal analysis of residual error; 6. Conclusion; Appendix 1: Proof of the generalized Edgeworth series expansion; References; 2. Arbitrage, Continuous Trading, and Margin Requirements D. Heath and R. Jarrow; I. The Model 327 $aII. Market Constraints on Trading StrategiesIII. Option Pricing under Margin Requirements; IV. Conclusion; Appendix; REFERENCES; 3. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities D. Heath and R. Jarrow; I. Introduction; II. The Model; III. Characterization of Arbitrage Opportunities at the Ex-Dividend Date; IV. Escrowed Dividend Stock Processes; V. Conclusion; Appendix; Proofs of Theorems 1 and 2; References; 4. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value P. Carr and R. Jarrow 327 $a1. The Black-Scholes Model, Terminology, and the Stop-Loss StartGain Strategy2. Resolution of the Paradox; 3. Valuation Results; 4. Genera1izing the Stock-Price Process; 5. Conclusions; Appendix; References; 5. Alternative Characterizations of American Put Options P. Carr, R. Jarrow and R. Myneni; 1. THE EARLY EXERCISE PREMIUM; 2. REPRESENTING EUROPEAN PUTS IN TERMS OF A BOUNDARY; 3. VARIOUS AMERICAN PUT REPRESENTATIONS; 4. SUMMARY AND EXTENSIONS; 5. APPENDIX; REFERENCES; 6. Market Manipulation, Bubbles, Corners, and Short Squeezes R. Jarrow; I. Introduction; II. The Model 327 $aIII. The Market StructureIV. Paper Wealth, Real Wealth, and Market Manipulation Trading Strategies; V. The Existence of Market Manipulation Trading Strategies; VI. Sufficient Conditions for the Nonexistence of Market Manipulation Trading Strategies; VII. Infinite Trading Horizon Speculators; VIII. Conclusion; Appendix; References; 7. Derivative Security Markets, Market Manipulation, and Option Pricing Theory R. Jarrow; Abstract; I. Introduction; II. The Model; III. Market Manipulation Using the Derivative Security; IV. Synchronous Markets; V. A Theory for Option Pricing; VI. Conclusion 327 $aAppendixReferences; 8. Liquidity Risk and Arbitrage Pricing Theory U. Oetin, R. Jarrow and P. Protter; 1 Introduction; 2 The model; 2.1 Supply curve; 2.2 Trading strategies; 2.3 The marked-to-market value of a s.ft.s. and its liquidity cost; 3 The extended first fundamental theorem; 4 The extended second fundamental theorem; 5 Example (extended Black-Scholes economy); 5.1 The economy; 5.2 Call option valuation; 6 Discontinuous supply curve evolutions; 6.1 The supply curve and s.f.t.s. 's; 6.2 The extended first fundamental theorem; 6.3 The extended secondfundamental theorem; 7 Conclusion 327 $aAppendix 330 $aThis book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics 606 $aDerivative securities$xPrices$xMathematical models 606 $aDerivative securities$xPrices$zUnited States 615 0$aDerivative securities$xPrices$xMathematical models. 615 0$aDerivative securities$xPrices 676 $a332.64/57 700 $aJarrow$b Robert A$0122733 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910813911403321 996 $aFinancial derivatives pricing$91131211 997 $aUNINA