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Derivative Security Pricing : Techniques, Methods and Applications / / by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos
| Derivative Security Pricing : Techniques, Methods and Applications / / by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos |
| Autore | Chiarella Carl |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (616 p.) |
| Disciplina | 332.6457 |
| Collana | Dynamic Modeling and Econometrics in Economics and Finance |
| Soggetto topico |
Finance
Economics, Mathematical Macroeconomics Probabilities Mathematical optimization Operations research Decision making Finance, general Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Probability Theory and Stochastic Processes Optimization Operations Research/Decision Theory |
| ISBN | 3-662-45906-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part 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. . |
| Record Nr. | UNINA-9910298472503321 |
Chiarella Carl
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| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Nonlinear Economic Dynamics and Financial Modelling : Essays in Honour of Carl Chiarella / / edited by Roberto Dieci, Xue-Zhong He, Cars Hommes
| Nonlinear Economic Dynamics and Financial Modelling : Essays in Honour of Carl Chiarella / / edited by Roberto Dieci, Xue-Zhong He, Cars Hommes |
| Edizione | [1st ed. 2014.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 004 |
| Soggetto topico |
Economics
Economics, Mathematical Application software Finance Game theory Macroeconomics Economic Theory/Quantitative Economics/Mathematical Methods Quantitative Finance Computer Appl. in Social and Behavioral Sciences Finance, general Game Theory, Economics, Social and Behav. Sciences Macroeconomics/Monetary Economics//Financial Economics |
| ISBN | 3-319-07470-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Carl Chiarella: An Interview and Some Perspectives -- Nonlinear Economic Dynamics -- Financial Market Modelling -- Quantitative Finance. |
| Record Nr. | UNINA-9910298546303321 |
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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