Financial derivatives pricing: selected works of Robert Jarrow
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
c2008
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd -- Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow -- Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow -- The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow -- Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni -- Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow -- Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow -- Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter -- Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka -- Liquidity Premiums and the Expectations Hypothesis / R. Jarrow -- Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield -- The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow -- Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton -- Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow -- Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow -- Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim -- Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull -- A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull -- Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu -- Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu -- Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow -- Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang -- Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics |
| Beschreibung: | 1 Online-Ressource (xv, 590 p.) |
| ISBN: | 9789812819222 9812819223 9789812819208 9812819207 9812819215 9789812819215 |
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| 500 | |a Includes bibliographical references | ||
| 500 | |a Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd -- Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow -- Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow -- The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow -- Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni -- Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow -- Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow -- Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter -- Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka -- Liquidity Premiums and the Expectations Hypothesis / R. Jarrow -- Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield -- The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow -- Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton -- Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow -- | ||
| 500 | |a Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow -- Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim -- Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull -- A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull -- Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu -- Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu -- Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow -- Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang -- Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim | ||
| 500 | |a This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics | ||
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Datensatz im Suchindex
| _version_ | 1804175287381917696 |
|---|---|
| any_adam_object | |
| author | Jarrow, Robert A. |
| author_facet | Jarrow, Robert A. |
| author_role | aut |
| author_sort | Jarrow, Robert A. |
| author_variant | r a j ra raj |
| building | Verbundindex |
| bvnumber | BV042963661 |
| collection | ZDB-4-EBU |
| ctrlnum | (OCoLC)826660612 (DE-599)BVBBV042963661 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| publisher | World Scientific |
| record_format | marc |
| spelling | Jarrow, Robert A. Verfasser aut Financial derivatives pricing selected works of Robert Jarrow Robert A. Jarrow Singapore World Scientific c2008 1 Online-Ressource (xv, 590 p.) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd -- Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow -- Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow -- The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow -- Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni -- Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow -- Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow -- Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter -- Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka -- Liquidity Premiums and the Expectations Hypothesis / R. Jarrow -- Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield -- The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow -- Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton -- Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow -- Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow -- Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim -- Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull -- A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull -- Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu -- Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu -- Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow -- Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang -- Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics Finanzderivat stw Optionspreistheorie stw Zins stw Kreditrisiko stw Theorie stw Derivat (Wertpapier) swd Preistheorie swd Finanzderivat Kreditrisiko Optionspreistheorie Theorie Zins BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Derivative securities / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Prices Mathematical models Derivative securities Prices United States Preistheorie (DE-588)4115623-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf USA 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Derivat Wertpapier (DE-588)4381572-8 s Preistheorie (DE-588)4115623-7 s 2\p DE-604 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=521224 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Jarrow, Robert A. Financial derivatives pricing selected works of Robert Jarrow Finanzderivat stw Optionspreistheorie stw Zins stw Kreditrisiko stw Theorie stw Derivat (Wertpapier) swd Preistheorie swd Finanzderivat Kreditrisiko Optionspreistheorie Theorie Zins BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Derivative securities / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Prices Mathematical models Derivative securities Prices United States Preistheorie (DE-588)4115623-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4115623-7 (DE-588)4381572-8 (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 Optionspreistheorie stw Zins stw Kreditrisiko stw Theorie stw Derivat (Wertpapier) swd Preistheorie swd Finanzderivat Kreditrisiko Optionspreistheorie Theorie Zins BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Prices fast Derivative securities / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Prices Mathematical models Derivative securities Prices United States Preistheorie (DE-588)4115623-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Finanzderivat Optionspreistheorie Zins Kreditrisiko Theorie Derivat (Wertpapier) Preistheorie BUSINESS & ECONOMICS / Investments & Securities / General Derivative securities / Prices Derivative securities / Prices / Mathematical models Mathematisches Modell Wirtschaft Derivative securities Prices Mathematical models Derivative securities Prices United States Derivat Wertpapier USA Aufsatzsammlung |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=521224 |
| work_keys_str_mv | AT jarrowroberta financialderivativespricingselectedworksofrobertjarrow |