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Derivative security pricingtechnique...

Chiarella, Carl.

Derivative security pricingtechniques, methods and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Derivative security pricingby Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos.
Reminder of title:	techniques, methods and applications /
Author:	Chiarella, Carl.
other author:	He, Xue-Zhong.
Published:	Berlin, Heidelberg :Springer Berlin Heidelberg :2015.
Description:	xvi, 616 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Derivative securitiesPrices
Online resource:	http://dx.doi.org/10.1007/978-3-662-45906-5
ISBN:	9783662459065 (electronic bk.)

Derivative security pricingtechniques, methods and applications /
Chiarella, Carl.

Derivative security pricingtechniques, methods and applications /[electronic resource] :by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos. - Berlin, Heidelberg :Springer Berlin Heidelberg :2015. - xvi, 616 p. :ill., digital ;24 cm. - Dynamic modeling and econometrics in economics and finance,v.211566-0419 ;. - Dynamic modeling and econometrics in economics and finance ;v.17..

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.

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.

ISBN: 9783662459065 (electronic bk.)

Standard No.: 10.1007/978-3-662-45906-5doiSubjects--Topical Terms:

198190
Derivative securities
--Prices

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.6320151

Derivative security pricingtechniques, methods and applications /
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245 1 0 $a Derivative security pricing $h [electronic resource] : $b techniques, methods and applications / $c by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos.
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490 1 $a Dynamic modeling and econometrics in economics and finance, $x 1566-0419 ; $v v.21
505 0 $a 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.
520 $a 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.
650 0 $a Derivative securities $x Prices $x Mathematical models. $3 198190
650 1 4 $a Economics/Management Science. $3 273684
650 2 4 $a Finance/Investment/Banking. $3 511434
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Financial Economics. $3 274377
650 2 4 $a Probability Theory and Stochastic Processes. $3 274061
650 2 4 $a Optimization. $3 274084
650 2 4 $a Operation Research/Decision Theory. $3 585050
700 1 $a He, Xue-Zhong. $3 683564
700 1 $a Sklibosios Nikitopoulos, Christina. $3 715467
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Dynamic modeling and econometrics in economics and finance ; $v v.17. $3 677782
856 4 0 $u http://dx.doi.org/10.1007/978-3-662-45906-5
950 $a Business and Economics (Springer-11643)