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A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA



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Autore: Primbs James A. Visualizza persona
Titolo: A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA Visualizza cluster
Pubblicazione: Boca Raton, Florida : , : CRC Press, , [2014]
©2014
Descrizione fisica: 1 online resource (294 pages) : illustrations
Disciplina: 332.6457
Soggetto topico: Derivative securities - Prices
Derivative securities - Mathematical models
Assets (Accounting)
Note generali: "A Chapman & Hall book"--title page.
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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.
Titolo autorizzato: A factor model approach to derivative pricing  Visualizza cluster
ISBN: 1-4987-6335-9
1-315-38029-3
1-4987-6333-2
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910155240903321
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