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000726279 020__ $$a9783662459065$$qelectronic book
000726279 020__ $$a366245906X$$qelectronic book
000726279 020__ $$z9783662459058
000726279 0247_ $$a10.1007/978-3-662-45906-5$$2doi
000726279 035__ $$aSP(OCoLC)ocn905854100
000726279 035__ $$aSP(OCoLC)905854100
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000726279 049__ $$aISEA
000726279 050_4 $$aHG6024.A3
000726279 08204 $$a332.6320151$$223
000726279 1001_ $$aChiarella, Carl,$$eauthor.
000726279 24510 $$aDerivative security pricing$$h[electronic resource] :$$btechniques, methods and applications /$$cCarl Chiarella, He Xue-Zhong, Christina Sklibosios Nikitopoulos
000726279 264_1 $$aHeidelberg :$$bSpringer,$$c[2015]
000726279 264_4 $$c©2015
000726279 300__ $$a1 online resource.
000726279 336__ $$atext$$btxt$$2rdacontent
000726279 337__ $$acomputer$$bc$$2rdamedia
000726279 338__ $$aonline resource$$bcr$$2rdacarrier
000726279 4901_ $$aDynamic modeling and econometrics in economics and finance;$$vvolume 21
000726279 504__ $$aIncludes bibliographical references and index.
000726279 5050_ $$aPart I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 Manipulating Stochastic Differential Equations and Stochastic Integrals -- 6 Ito's Lemma and Its Application -- 7 The Continuous Hedging Argument -- 8 Martingale Interpretation of No-Riskless Arbitrage -- 9 The Partial Differential Equation Approach Under Geometric Brownian Motion -- 10 Pricing Derivative Securities -- A General Approach -- 11 Applying the General Pricing Framework -- 12 Jump-Diffusion Processes -- Option Pricing under Jump-Diffusion Processes -- 14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process -- 15 Stochastic Volatility -- 16 Pricing the American Feature -- 17 Pricing Options Using Binominal Trees -- 18 Volatility Smiles -- Part II Interest Rate Modelling -- 19 Allowing for Stochastic Interest Rates in the B-S Model -- 20 Change of Numeraire -- 21 The Paradigm Interest Rate Option Problem -- 22 Modelling Interest Rate Dynamics -- 23 Interest Rate Derivatives -- One Factor Spot Rate Models -- 24 Interest Rate Derivatives -- Multi-Factor Models -- 25 The Heath-Jarrow-Morton Framework -- 26 The LIBOR Market Model. .
000726279 506__ $$aAccess limited to authorized users.
000726279 520__ $$aThe book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito?s Lemma, martingales, Girsanov?s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field.
000726279 588__ $$aDescription based on online resource; title from PDF title page (viewed April 1, 2015).
000726279 650_0 $$aDerivative securities$$xPrices$$xMathematical models.
000726279 7001_ $$aHe, Xue-Zhong,$$eauthor.
000726279 7001_ $$aNikitopoulos, Christina Sklibosios,$$eauthor.
000726279 77608 $$iPrint version:$$z9783662459058
000726279 830_0 $$aDynamic modeling and econometrics in economics and finance ;$$vv. 21.
000726279 852__ $$bebk
000726279 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-662-45906-5$$zOnline Access$$91397441.1
000726279 909CO $$ooai:library.usi.edu:726279$$pGLOBAL_SET
000726279 980__ $$aEBOOK
000726279 980__ $$aBIB
000726279 982__ $$aEbook
000726279 983__ $$aOnline
000726279 994__ $$a92$$bISE