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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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Cambridge
Cambridge University Press
2004
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| 245 | 1 | 0 | |a Financial derivatives |b pricing, applications, and mathematics |c Jamil Baz, George Chacko |
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| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 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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Datensatz im Suchindex
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| author | Baz, Jamil Chacko, George 1967- |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511806643 |
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| id | DE-604.BV043923766 |
| illustrated | Not Illustrated |
| index_date | 2024-09-20T13:29:36Z |
| indexdate | 2024-09-27T16:41:23Z |
| institution | BVB |
| isbn | 9780511806643 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029332844 |
| oclc_num | 992933200 |
| open_access_boolean | |
| owner | DE-12 DE-473 DE-BY-UBG DE-92 DE-19 DE-BY-UBM |
| owner_facet | DE-12 DE-473 DE-BY-UBG DE-92 DE-19 DE-BY-UBM |
| physical | 1 online resource (xi, 338 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO ZDB-20-CBO UBG_PDA_CBO ZDB-20-CBO UBM_PDA_CBO_Kauf |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Cambridge University Press |
| record_format | marc |
| 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 |
| work_keys_str_mv | AT bazjamil financialderivativespricingapplicationsandmathematics AT chackogeorge financialderivativespricingapplicationsandmathematics |