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Quantitative Modeling of Derivative Securities - Peter Laurence

Quantitative Modeling of Derivative Securities

From Theory To Practice

(Autor)

Buch | Hardcover
334 Seiten
1999
Chapman & Hall/CRC (Verlag)
978-1-58488-031-8 (ISBN)
CHF 235,65 inkl. MwSt
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Based primarily on the analysis of derivatives, this work emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products.
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

Marco Avellaneda, Peter Laurence

Arbitrage Pricing Theory: The One-Period Model. Binomial Option Pricing Model. Analysis of the Black-Scholes Formula. Refinements of the Binomial Model. American-Style Options and Time-Optionality. Trinomial Trees and Finite-Difference Schemes. Brownian Motion and Ito Calculus. An Introduction to Exotic Options. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem. Continuous-Time Finance: An Introduction. Valuation of Derivative Securities. Fixed-Income Securities and the Term-Structure of Interest Rates.. The Heath-Jarrow-Morton Theorem and Multidimensional Term-Structure Model. Exponential-Affine Models. Interest-Rate Options. Appendix: The Intertemporal Discrete Model.

Erscheint lt. Verlag 17.9.1999
Zusatzinfo 1 Tables, black and white; 20 Halftones, black and white
Sprache englisch
Maße 174 x 246 mm
Gewicht 780 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Wirtschaft Betriebswirtschaft / Management Finanzierung
ISBN-10 1-58488-031-7 / 1584880317
ISBN-13 978-1-58488-031-8 / 9781584880318
Zustand Neuware
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