Financial derivatives: pricing, applications, and mathematics
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discusse...
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2004
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| Subjects: | |
| Online Access: | BSB01 FHN01 UBG01 UBM01 Volltext |
| Summary: | This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xi, 338 pages) |
| ISBN: | 9780511806643 |
| DOI: | 10.1017/CBO9780511806643 |
Staff View
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| 520 | |a This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations | ||
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:38:42Z |
| institution | BVB |
| isbn | 9780511806643 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029332844 |
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| physical | 1 online resource (xi, 338 pages) |
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| publishDate | 2004 |
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| publisher | Cambridge University Press |
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| spelling | Baz, Jamil Verfasser (DE-588)171550110 aut Financial derivatives pricing, applications, and mathematics Jamil Baz, George Chacko Cambridge Cambridge University Press 2004 1 online resource (xi, 338 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s 1\p DE-604 Chacko, George 1967- Verfasser (DE-588)124785514 aut Erscheint auch als Druck-Ausgabe 978-0-521-81510-9 Erscheint auch als Druck-Ausgabe 978-0-521-06679-2 https://doi.org/10.1017/CBO9780511806643 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Baz, Jamil Chacko, George 1967- Financial derivatives pricing, applications, and mathematics Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 |
| title | Financial derivatives pricing, applications, and mathematics |
| title_auth | Financial derivatives pricing, applications, and mathematics |
| title_exact_search | Financial derivatives pricing, applications, and mathematics |
| title_full | Financial derivatives pricing, applications, and mathematics Jamil Baz, George Chacko |
| title_fullStr | Financial derivatives pricing, applications, and mathematics Jamil Baz, George Chacko |
| title_full_unstemmed | Financial derivatives pricing, applications, and mathematics Jamil Baz, George Chacko |
| title_short | Financial derivatives |
| title_sort | financial derivatives pricing applications and mathematics |
| title_sub | pricing, applications, and mathematics |
| topic | Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities Derivat Wertpapier |
| url | https://doi.org/10.1017/CBO9780511806643 |
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