Financial Derivatives

Pricing, Applications, and Mathematics

Business & Finance, Accounting, Finance & Investing, Finance
Cover of the book Financial Derivatives by Jamil Baz, George Chacko, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jamil Baz, George Chacko ISBN: 9781107264007
Publisher: Cambridge University Press Publication: January 12, 2004
Imprint: Cambridge University Press Language: English
Author: Jamil Baz, George Chacko
ISBN: 9781107264007
Publisher: Cambridge University Press
Publication: January 12, 2004
Imprint: Cambridge University Press
Language: English

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

More books from Cambridge University Press

Cover of the book Cicero: On Moral Ends by Jamil Baz, George Chacko
Cover of the book Data Mining and Analysis by Jamil Baz, George Chacko
Cover of the book Linguistic Interaction in Roman Comedy by Jamil Baz, George Chacko
Cover of the book Court Poetry in Late Medieval England and Scotland by Jamil Baz, George Chacko
Cover of the book Social Resilience in the Neoliberal Era by Jamil Baz, George Chacko
Cover of the book Interpreting Gödel by Jamil Baz, George Chacko
Cover of the book Orientalism and Musical Mission by Jamil Baz, George Chacko
Cover of the book Hormones, Cognition and Dementia by Jamil Baz, George Chacko
Cover of the book A History of Canberra by Jamil Baz, George Chacko
Cover of the book The Performative Presidency by Jamil Baz, George Chacko
Cover of the book Social Computing and the Law by Jamil Baz, George Chacko
Cover of the book Motives in Children's Development by Jamil Baz, George Chacko
Cover of the book Peacemakers in Action: Volume 2 by Jamil Baz, George Chacko
Cover of the book Roman Girlhood and the Fashioning of Femininity by Jamil Baz, George Chacko
Cover of the book A Primer of Conservation Genetics by Jamil Baz, George Chacko
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy