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Derivative Security Pricing: Techniques, Methods and Applications: 21 (Dynamic Modeling and Econometrics in Economics and Finance) - Hardcover
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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.
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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.
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- VerlagSpringer
- Erscheinungsdatum2015
- ISBN 10 3662459051
- ISBN 13 9783662459058
- EinbandTapa dura
- Anzahl der Seiten634
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Derivative Security Pricing : Techniques, Methods and Applications
Verlag:
Springer Berlin Heidelberg
(2015)
ISBN 10: 3662459051
ISBN 13: 9783662459058
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Buchbeschreibung Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783662459058
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