Holdings: Financial derivatives pricing

Financial derivatives pricing: selected works of Robert Jarrow

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Bibliographic Details
Main Author:	Jarrow, Robert A. 1952- (Author)
Format:	Book
Language:	English
Published:	Singapore [u.a.] World Scientific 2008
Subjects:	Finanzderivat Kreditrisiko Optionspreistheorie Theorie Zins Mathematisches Modell Derivative securities > Prices > Mathematical models Derivative securities > Prices > United States Derivat > Wertpapier Preistheorie USA Aufsatzsammlung
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Item Description:	Enth. 23 Beitr.
Physical Description:	XV, 590 S. graph. Darst.
ISBN:	9812819207 9789812819208

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MARC


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Record in the Search Index

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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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dewey-search	332.64/57 332.632
dewey-sort	3332.64 257
dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
format	Book
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illustrated	Illustrated
indexdate	2024-07-09T22:05:29Z
institution	BVB
isbn	9812819207 9789812819208
language	English
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physical	XV, 590 S. graph. Darst.
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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
work_keys_str_mv	AT jarrowroberta financialderivativespricingselectedworksofrobertjarrow

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