A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA
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| Autore: |
Primbs James A.
|
| Titolo: |
A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA
|
| 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 |
| 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 |
| Opac: | Controlla la disponibilità qui |