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A factor model approach to derivative pricing /

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Bibliographic Details
Main Author: Primbs, James A. (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton, Florida : CRC Press, [2014]
Subjects:
Derivative securities > Prices.
Derivative securities > Mathematical models.
Assets (Accounting)
Instruments dérivés (Finances) > Prix.
Instruments dérivés (Finances) > Modèles mathématiques.
Actif (Comptabilité)
Derivative securities > Mathematical models
Derivative securities > Prices
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Chapter 1. Building blocks and stochastic differential equation models
  • chapter 2. Ito's Lemma
  • chapter 3. Stochastic differential equations
  • chapter 4. The factor model approach to arbitrage pricing
  • chapter 5. Constructing a factor model pricing framework
  • chapter 6. Equity derivatives
  • chapter 7. Interest rate and credit derivatives
  • chapter 8. Hedging
  • chapter 9. Computation of solutions
  • chapter 10. The road to risk neutrality.