LEADER 01149nam--2200385---450- 001 990005906060203316 005 20131107145117.0 010 $a978-88-6134-433-4 035 $a000590606 035 $aUSA01000590606 035 $a(ALEPH)000590606USA01 035 $a000590606 100 $a20131107d2010----km-y0itay50------ba 101 $aita 102 $aIT 105 $a||||||||001yy 200 1 $aCrescita economica$estabilità, convergenza e politica macroeconomica$fCarmelo Pierpaolo Parello 210 $aRoma$cNuova Cultura$d2010 215 $aXI, 248 p.$d24 cm 410 0$12001 454 1$12001 461 1$1001-------$12001 606 0 $aSviluppo economico$xModelli matematici$2BNCF 676 $a339.5 700 1$aPARELLO,$bCarmelo Pierpaolo$0618098 801 0$aIT$bsalbc$gISBD 912 $a990005906060203316 951 $a339.5 PAR 1$b77938 G.$c339.5 PAR$d00343565 959 $aBK 969 $aECO 979 $aFIORELLA$b90$c20131107$lUSA01$h1412 979 $aFIORELLA$b90$c20131107$lUSA01$h1412 979 $aFIORELLA$b90$c20131107$lUSA01$h1451 996 $aCrescita economica$91074694 997 $aUNISA LEADER 05820nam 22008775 450 001 9910298472503321 005 20250609111215.0 010 $a3-662-45906-X 024 7 $a10.1007/978-3-662-45906-5 035 $a(CKB)3710000000379504 035 $a(EBL)2096843 035 $a(OCoLC)916945633 035 $a(SSID)ssj0001465448 035 $a(PQKBManifestationID)11935255 035 $a(PQKBTitleCode)TC0001465448 035 $a(PQKBWorkID)11477841 035 $a(PQKB)10286935 035 $a(DE-He213)978-3-662-45906-5 035 $a(MiAaPQ)EBC2096843 035 $a(PPN)18489560X 035 $a(MiAaPQ)EBC3108768 035 $a(EXLCZ)993710000000379504 100 $a20150325d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aDerivative Security Pricing $eTechniques, Methods and Applications /$fby Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos 205 $a1st ed. 2015. 210 1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2015. 215 $a1 online resource (616 p.) 225 1 $aDynamic Modeling and Econometrics in Economics and Finance,$x1566-0419 ;$v21 300 $aDescription based upon print version of record. 311 08$a3-662-45905-1 320 $aIncludes bibliographical references and index. 327 $aPart I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 Manipulating Stochastic Differential Equations and Stochastic Integrals -- 6 Ito's Lemma and Its Application -- 7 The Continuous Hedging Argument -- 8 Martingale Interpretation of No-Riskless Arbitrage -- 9 The Partial Differential Equation Approach Under Geometric Brownian Motion -- 10 Pricing Derivative Securities - A General Approach -- 11 Applying the General Pricing Framework -- 12 Jump-Diffusion Processes -- Option Pricing under Jump-Diffusion Processes -- 14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process -- 15 Stochastic Volatility -- 16 Pricing the American Feature -- 17 Pricing Options Using Binominal Trees -- 18 Volatility Smiles -- Part II Interest Rate Modelling -- 19 Allowing for Stochastic Interest Rates in the B-S Model -- 20 Change of Numeraire -- 21 The Paradigm Interest Rate Option Problem -- 22 Modelling Interest Rate Dynamics -- 23 Interest Rate Derivatives - One Factor Spot Rate Models -- 24 Interest Rate Derivatives - Multi-Factor Models -- 25 The Heath-Jarrow-Morton Framework -- 26 The LIBOR Market Model.                   . 330 $aThe book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito?s Lemma, martingales, Girsanov?s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field. 410 0$aDynamic Modeling and Econometrics in Economics and Finance,$x1566-0419 ;$v21 606 $aFinance 606 $aEconomics, Mathematical 606 $aMacroeconomics 606 $aProbabilities 606 $aMathematical optimization 606 $aOperations research 606 $aDecision making 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aOptimization$3https://scigraph.springernature.com/ontologies/product-market-codes/M26008 606 $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000 615 0$aFinance. 615 0$aEconomics, Mathematical. 615 0$aMacroeconomics. 615 0$aProbabilities. 615 0$aMathematical optimization. 615 0$aOperations research. 615 0$aDecision making. 615 14$aFinance, general. 615 24$aQuantitative Finance. 615 24$aMacroeconomics/Monetary Economics//Financial Economics. 615 24$aProbability Theory and Stochastic Processes. 615 24$aOptimization. 615 24$aOperations Research/Decision Theory. 676 $a332.6457 700 $aChiarella$b Carl$4aut$4http://id.loc.gov/vocabulary/relators/aut$0102729 702 $aHe$b Xue-Zhong$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aSklibosios Nikitopoulos$b Christina$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910298472503321 996 $aDerivative Security Pricing$92529306 997 $aUNINA