Derivative security pricing [electronic resource] : techniques, methods and applications / Carl Chiarella, He Xue-Zhong, Christina Sklibosios Nikitopoulos
Chiarella, Carl, author.; He, Xue-Zhong, author.; Nikitopoulos, Christina Sklibosios, author.
2015
HG6024.A3
Available Online

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Title
Derivative security pricing [electronic resource] : techniques, methods and applications / Carl Chiarella, He Xue-Zhong, Christina Sklibosios Nikitopoulos
Author
Chiarella, Carl, author.
ISBN
9783662459065 electronic book
366245906X electronic book
9783662459058
DOI
https://doi.org/10.1007/978-3-662-45906-5
Published
Heidelberg : Springer, [2015]
Copyright
©2015
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-662-45906-5 doi
Call Number
HG6024.A3
Dewey Decimal Classification
332.6320151
Summary
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.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Source of Description
Description based on online resource; title from PDF title page (viewed April 1, 2015).
Added Author
He, Xue-Zhong, author.
Nikitopoulos, Christina Sklibosios, author.
Series
Dynamic modeling and econometrics in economics and finance ; v. 21.
Available in Other Form
Print version: 9783662459058
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Part I The Fundamentals of Derivative Security Pricing
1 The Stock Option Problem
2 Stochastic Processes for Asset Price Modelling
3 An Initial Attempt at Pricing an Option
4 The Stochastic Differential Equation
5 Manipulating Stochastic Differential Equations and Stochastic Integrals
6 Ito's Lemma and Its Application
7 The Continuous Hedging Argument
8 Martingale Interpretation of No-Riskless Arbitrage
9 The Partial Differential Equation Approach Under Geometric Brownian Motion
10 Pricing Derivative Securities
A General Approach
11 Applying the General Pricing Framework
12 Jump-Diffusion Processes
Option Pricing under Jump-Diffusion Processes
14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process
15 Stochastic Volatility
16 Pricing the American Feature
17 Pricing Options Using Binominal Trees
18 Volatility Smiles
Part II Interest Rate Modelling
19 Allowing for Stochastic Interest Rates in the B-S Model
20 Change of Numeraire
21 The Paradigm Interest Rate Option Problem
22 Modelling Interest Rate Dynamics
23 Interest Rate Derivatives
One Factor Spot Rate Models
24 Interest Rate Derivatives
Multi-Factor Models
25 The Heath-Jarrow-Morton Framework
26 The LIBOR Market Model. .

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