Financial derivatives pricing: selected works of Robert Jarrow
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Singapore [u.a.]
World Scientific
2008
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | Enth. 23 Beitr. |
| Beschreibung: | XV, 590 S. graph. Darst. |
| ISBN: | 9812819207 9789812819208 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804140784949133312 |
|---|---|
| adam_text | SELECTED WORKS OF ROBERT JARROW FINANCIAL DERIVATIVES PRICING ROBERT A
JARROW CORNELL UNIVERSITY, USA WORLD SCIENTIFIC NEW JERSEY * LONDON *
SINGAPORE * BEIJING * SHANGHAI * HONG KONG * TAIPEI * CHENNAI CONTENTS
ACKNOWLEDGMENTS V PREFACE IX PART I. OPTION PRICING THEORY AND ITS
FOUNDATIONS INTRODUCTION 3 1. APPROXIMATE OPTION VALUATION FOR ARBITRARY
STOCHASTIC PROCESSES 9 R. JARROW AND A. RUDD 2. ARBITRAGE, CONTINUOUS
TRADING, AND MARGIN REQUIREMENTS 33 D. HEATH AND R. JARROW 3.
EX-DIVIDEND STOCK PRICE BEHAVIOR AND ARBITRAGE OPPORTUNITIES 47 D. HEATH
AND R. JARROW 4. THE STOP-LOSS START-GAIN PARADOX AND OPTION VALUATION:
A NEW DECOMPOSITION INTO INTRINSIC AND TIME VALUE 61 P. CARR AND R.
JARROW 5. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 85 P.
CARR, R. JARROW AND R. MYNENI 6. MARKET MANIPULATION, BUBBLES, CORNERS,
AND SHORT SQUEEZES 105 R. JARROW XIII XIV 7. DERIVATIVE SECURITY
MARKETS, MARKET MANIPULATION, AND OPTION PRICING THEORY 131 R. JARROW 8.
LIQUIDITY RISK AND ARBITRAGE PRICING THEORY 153 U. CETIN, R. JARROW AND
P. PROTTER 9. PRICING OPTIONS IN AN EXTENDED BLACK-SCHOLES ECONOMY WITH
ILLIQUIDITY: THEORY AND EMPIRICAL EVIDENCE 185 U. CETIN, R. JARROW, P.
PROTTER AND M. WARACHKA PART II. STOCHASTIC INTEREST RATES INTRODUCTION
225 10. LIQUIDITY PREMIUMS AND THE EXPECTATIONS HYPOTHESIS 229 R. JARROW
11. FORWARD CONTRACTS AND FUTURES CONTRACTS 237 R. JARROW AND G.
OLDFIELD 12. THE PRICING OF COMMODITY OPTIONS WITH STOCHASTIC INTEREST
RATES 247 R. JARROW 13. BOND PRICING AND THE TERM STRUCTURE OF INTEREST
RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION 277 D. HEATH,
R. JARROW, AND A. MORTON 14. PRICING FOREIGN CURRENCY OPTIONS UNDER
STOCHASTIC INTEREST RATES 307 K. AMIN AND R. JARROW 15. PRICING OPTIONS
ON RISKY ASSETS IN A STOCHASTIC INTEREST RATE ECONOMY 327 K. AMIN AND R.
JARROW 16. PRICING TREASURY INFLATION PROTECTED SECURITIES AND RELATED
DERIVATIVES USING AN HJM MODEL 349 R. JARROW AND Y. YILDIRIM XV PART
III. CREDIT RISK INTRODUCTION 373 17. PRICING DERIVATIVES ON FINANCIAL
SECURITIES SUBJECT TO CREDIT RISK 377 R. JARROW AND S. TURNBULL 18. A
MARKOV MODEL FOR THE TERM STRUCTURE OF CREDIT RISK SPREADS 411 R.
JARROW, D. LANDO AND S. TURNBULL 19. DEFAULT RISK AND DIVERSIFICATION:
THEORY AND EMPIRICAL IMPLICATIONS 455 R. JARROW, D. LANDO AND F. YU 20.
COUNTERPARTY RISK AND THE PRICING OF DEFAULTABLE SECURITIES 481 R.
JARROW AND F. YU 21. BANKRUPTCY PREDICTION WITH INDUSTRY EFFECTS 517 5.
CHAVA AND R. JARROW 22. MARKET PRICING OF DEPOSIT INSURANCE 551 D.
DUFFIE, R. JARROW, A. PURNANANDAM AND W. YANG 23. MODELING CREDIT RISK
WITH PARTIAL INFORMATION 579 U. CETIN, R. JARROW, P. PROTTER AND Y.
YILDIRIM
|
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| author | Jarrow, Robert A. 1952- |
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| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)230198613 (DE-599)GBV583807852 |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 332.632 |
| dewey-search | 332.64/57 332.632 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV035825603 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:05:29Z |
| institution | BVB |
| isbn | 9812819207 9789812819208 |
| language | English |
| lccn | 2009275681 |
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| publisher | World Scientific |
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| spelling | Jarrow, Robert A. 1952- Verfasser (DE-588)129325600 aut Financial derivatives pricing selected works of Robert Jarrow Robert A Jarrow Singapore [u.a.] World Scientific 2008 XV, 590 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Enth. 23 Beitr. Finanzderivat stw Kreditrisiko stw Optionspreistheorie stw Theorie stw Zins stw Mathematisches Modell Derivative securities Prices Mathematical models Derivative securities Prices United States Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preistheorie (DE-588)4115623-7 gnd rswk-swf USA (DE-588)4143413-4 Aufsatzsammlung gnd-content Derivat Wertpapier (DE-588)4381572-8 s Preistheorie (DE-588)4115623-7 s DE-604 DE-601 pdf/application http://www.gbv.de/dms/zbw/583807852.pdf 2008-12-10 kostenfrei Inhaltsverzeichnis GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018684258&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Jarrow, Robert A. 1952- Financial derivatives pricing selected works of Robert Jarrow Finanzderivat stw Kreditrisiko stw Optionspreistheorie stw Theorie stw Zins stw Mathematisches Modell Derivative securities Prices Mathematical models Derivative securities Prices United States Derivat Wertpapier (DE-588)4381572-8 gnd Preistheorie (DE-588)4115623-7 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4115623-7 (DE-588)4143413-4 |
| title | Financial derivatives pricing selected works of Robert Jarrow |
| title_auth | Financial derivatives pricing selected works of Robert Jarrow |
| title_exact_search | Financial derivatives pricing selected works of Robert Jarrow |
| title_full | Financial derivatives pricing selected works of Robert Jarrow Robert A Jarrow |
| title_fullStr | Financial derivatives pricing selected works of Robert Jarrow Robert A Jarrow |
| title_full_unstemmed | Financial derivatives pricing selected works of Robert Jarrow Robert A Jarrow |
| title_short | Financial derivatives pricing |
| title_sort | financial derivatives pricing selected works of robert jarrow |
| title_sub | selected works of Robert Jarrow |
| topic | Finanzderivat stw Kreditrisiko stw Optionspreistheorie stw Theorie stw Zins stw Mathematisches Modell Derivative securities Prices Mathematical models Derivative securities Prices United States Derivat Wertpapier (DE-588)4381572-8 gnd Preistheorie (DE-588)4115623-7 gnd |
| topic_facet | Finanzderivat Kreditrisiko Optionspreistheorie Theorie Zins Mathematisches Modell Derivative securities Prices Mathematical models Derivative securities Prices United States Derivat Wertpapier Preistheorie USA Aufsatzsammlung |
| url | http://www.gbv.de/dms/zbw/583807852.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018684258&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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