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

• Autore: Primbs James A.
• Pubblicazione: Boca Raton, Florida : , : CRC Press, , [2014]; ©2014
• Edizione: 1st ed.
• 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.
• Sommario/riassunto: Written 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.
• Titolo autorizzato: A factor model approach to derivative pricing
• 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
• Lo trovi qui: Univ. Federico II