Financial derivatives pricing: selected works of Robert Jarrow
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 th...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2008
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| Online-Zugang: | FHN01 Volltext |
| Zusammenfassung: | 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 like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities. Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk |
| Beschreibung: | xv, 590 p. ill |
| ISBN: | 9789812819222 |
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| 520 | |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 like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities. Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk | ||
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Datensatz im Suchindex
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| author | Jarrow, Robert A. |
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| dewey-full | 332.632 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632 |
| dewey-search | 332.632 |
| dewey-sort | 3332.632 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Jarrow, Robert A. Verfasser aut Financial derivatives pricing selected works of Robert Jarrow Robert A. Jarrow Singapore World Scientific Pub. Co. c2008 xv, 590 p. ill txt rdacontent c rdamedia cr rdacarrier 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 like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities. Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk Derivative securities / Prices / Mathematical models Derivative securities / Prices / United States Options (Finance) / Prices Interest rates / Econometric models Credit / Management Preistheorie (DE-588)4115623-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf 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://www.worldscientific.com/worldscibooks/10.1142/6911#t=toc Verlag URL des Erstveroeffentlichers 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 Derivative securities / Prices / Mathematical models Derivative securities / Prices / United States Options (Finance) / Prices Interest rates / Econometric models Credit / Management 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 | Derivative securities / Prices / Mathematical models Derivative securities / Prices / United States Options (Finance) / Prices Interest rates / Econometric models Credit / Management Preistheorie (DE-588)4115623-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities / Prices / Mathematical models Derivative securities / Prices / United States Options (Finance) / Prices Interest rates / Econometric models Credit / Management Preistheorie Derivat Wertpapier Aufsatzsammlung |
| url | http://www.worldscientific.com/worldscibooks/10.1142/6911#t=toc |
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