Derivative Security Pricing Techniques, Methods and Applications

Derivative Security Pricing Techniques, Methods and Applications / by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos.

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 conce...

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Bibliographic Details
Main Authors: Chiarella, Carl (Author), He, Xue-Zhong (Author), Sklibosios Nikitopoulos, Christina (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015.
Edition:1st ed. 2015.
Series:Dynamic Modeling and Econometrics in Economics and Finance, 21
Springer eBook Collection.
Subjects:
Finance.
Economics, Mathematical .
Macroeconomics.
Probabilities.
Mathematical optimization.
Operations research.
Decision making.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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.                   .

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