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Financial derivatives pricingselecte...

Jarrow, Robert A.

Financial derivatives pricingselected works of Robert Jarrow /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Financial derivatives pricingRobert A. Jarrow.
其他題名:	selected works of Robert Jarrow /
作者:	Jarrow, Robert A.
出版者:	Singapore ;World Scientific Pub. Co.,c2008.
面頁冊數:	xv, 590 p. :ill.
標題:	Derivative securitiesPrices
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/6911#t=toc
ISBN:	9789812819222 (electronic bk.)

Financial derivatives pricingselected works of Robert Jarrow /
Jarrow, Robert A.

Financial derivatives pricingselected works of Robert Jarrow /[electronic resource] :Robert A. Jarrow. - Singapore ;World Scientific Pub. Co.,c2008. - xv, 590 p. :ill.

Includes bibliographical references.

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk. Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities. Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Electronic reproduction.
Singapore :
World Scientific Publishing Co.,
2008.

System requirements: Adobe Acrobat Reader.

ISBN: 9789812819222 (electronic bk.)Subjects--Topical Terms:

198190
Derivative securities
--Prices

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.632

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650 0 $a Options (Finance) $x Prices. $3 207696
650 0 $a Interest rates $x Econometric models. $3 233819
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