Financial calculus: an introduction to derivate pricing
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2008
|
| Ausgabe: | 17. print. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 233 S. graph. Darst |
| ISBN: | 9780521552899 |
Internformat
MARC
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| 100 | 1 | |a Baxter, Martin |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Financial calculus |b an introduction to derivate pricing |c Martin Baxter ; Andrew Rennie |
| 250 | |a 17. print. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2008 | |
| 300 | |a IX, 233 S. |b graph. Darst | ||
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Datensatz im Suchindex
| _version_ | 1804141059511418880 |
|---|---|
| adam_text | Contents
Preface
vii
The parable of the bookmaker
1
Chapter
1
Introduction
3
1.1
Expectation pricing
4
1.2
Arbitrage pricing
7
1.3
Expectation vs arbitrage
9
Chapter
2
Discrete processes
10
2.1
The binomial branch model
10
2.2
The binomial tree model
17
2.3
Binomial representation theorem
28
2.4
Overture to continuous modek
41
Chapter
3
Continuous processes
44
3.1
Continuous processes
45
3.2
Stochastic calculus
51
3.3
Ito
calculus
57
3.4
Change of measure
-
the C-M-G theorem
63
3.5
Martingale representation theorem
76
3.6
Construction strategies
80
3.7
Black-Schoies model
83
3.8
Black-Scholes in action
92
Contents
Chapter
4
Pricing market securities
99
4.1
Foreign exchange
99
4.2
Equities and dividends
106
4.3
Bonds
112
4.4
Market price of risk
116
4.5
Quantos
122
Chapter
5
Interest rates
128
5.1
The interest rate market
129
5.2
A simple model
135
5.3
Single-factor HJM
142
5.4
Short-rate models
149
5.5
Multi-factor HJM
158
5.6
Interest rate products
163
5.7
Multi-factor models
172
Chapter
6
Bigger models
178
6.1
General stock model
178
6.2
Log-normal models
181
6.3
Multiple stock models
183
6.4
Numeraires
189
6.5
Foreign currency interest-rate models
193
6.6
Arbitrage-free complete models
196
Appendices
Al
Further reading
201
A2 Notation
205
A3
Answers to exercises
209
A4
Glossary of technical terms
216
Index
228
VI
|
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| author_role | aut aut |
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| bvnumber | BV036034687 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)449661387 (DE-599)BVBBV036034687 |
| discipline | Wirtschaftswissenschaften |
| edition | 17. print. |
| format | Book |
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| id | DE-604.BV036034687 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:09:51Z |
| institution | BVB |
| isbn | 9780521552899 |
| language | English |
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| physical | IX, 233 S. graph. Darst |
| publishDate | 2008 |
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| publisher | Cambridge Univ. Press |
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| spelling | Baxter, Martin Verfasser aut Financial calculus an introduction to derivate pricing Martin Baxter ; Andrew Rennie 17. print. Cambridge [u.a.] Cambridge Univ. Press 2008 IX, 233 S. graph. Darst txt rdacontent n rdamedia nc rdacarrier Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s DE-604 Optionspreistheorie (DE-588)4135346-8 s 1\p DE-604 Rennie, Andrew Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018926688&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Baxter, Martin Rennie, Andrew Financial calculus an introduction to derivate pricing Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4017195-4 (DE-588)4135346-8 |
| title | Financial calculus an introduction to derivate pricing |
| title_auth | Financial calculus an introduction to derivate pricing |
| title_exact_search | Financial calculus an introduction to derivate pricing |
| title_full | Financial calculus an introduction to derivate pricing Martin Baxter ; Andrew Rennie |
| title_fullStr | Financial calculus an introduction to derivate pricing Martin Baxter ; Andrew Rennie |
| title_full_unstemmed | Financial calculus an introduction to derivate pricing Martin Baxter ; Andrew Rennie |
| title_short | Financial calculus |
| title_sort | financial calculus an introduction to derivate pricing |
| title_sub | an introduction to derivate pricing |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Derivat Wertpapier Finanzmathematik Optionspreistheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018926688&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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