Derivative Security Pricing - Techniques, Methods and Applications (Paperback, Softcover reprint of the original 1st ed. 2015)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Dynamic Modeling and Econometrics in Economics and Finance, 21
Release date:	October 2016
First published:	2015
Authors:	Carl Chiarella • Xue-Zhong He • Christina Sklibosios Nikitopoulos
Dimensions:	235 x 155 x 33mm (L x W x T)
Format:	Paperback
Pages:	616
Edition:	Softcover reprint of the original 1st ed. 2015
ISBN-13:	978-3-662-51631-7
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Management & management techniques > Operational research Books > Science & Mathematics > Mathematics > Optimization > General Books > Money & Finance > General
LSN:	3-662-51631-4
Barcode:	9783662516317

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