A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates
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Asset Pricing
| Author | : T. Kariya |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 273 |
| Release | : 2011-06-27 |
| Genre | : Business & Economics |
| ISBN | : 1441992308 |
1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac cepted principle that financial asset prices are instantly adjusted at each mo ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.
Pricing Derivative Securities (2nd Edition)
| Author | : Thomas Wake Epps |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 644 |
| Release | : 2007-06-04 |
| Genre | : Business & Economics |
| ISBN | : 9814365432 |
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Risk-Neutral Valuation
| Author | : Nicholas H. Bingham |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 306 |
| Release | : 2013-06-29 |
| Genre | : Mathematics |
| ISBN | : 1447136195 |
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Derivative Security Pricing
| Author | : Carl Chiarella |
| Publisher | : Springer |
| Total Pages | : 616 |
| Release | : 2015-03-25 |
| Genre | : Business & Economics |
| ISBN | : 366245906X |
The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field.
Quantitative Analysis in Financial Markets
| Author | : Marco Avellaneda |
| Publisher | : World Scientific |
| Total Pages | : 390 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9789810237899 |
This volume contains lectures delivered at the Seminar in Mathematical Finance at the Courant Institute, New York University. Subjects covered include: the emerging science of pricing and hedging derivative securities, managing financial risk, and price forecasting using statistics.
An Introduction to the Mathematics of Financial Derivatives
| Author | : Salih N. Neftci |
| Publisher | : Academic Press |
| Total Pages | : 550 |
| Release | : 2000-05-19 |
| Genre | : Business & Economics |
| ISBN | : 0125153929 |
A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
Pricing Derivative Securities (Second Edition).
| Author | : Thomas W. Epps |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C, and VBA program components.
Pricing Derivatives
| Author | : Ambar Sengupta |
| Publisher | : |
| Total Pages | : 312 |
| Release | : 2005 |
| Genre | : Business & Economics |
| ISBN | : |
Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
Martingale Methods in Financial Modelling
| Author | : Marek Musiela |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 721 |
| Release | : 2006-01-20 |
| Genre | : Mathematics |
| ISBN | : 3540266534 |
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
