› › Essays On Derivatives Pricing Theory

Essays in Derivatives

Author : Don M. Chance

Publisher : John Wiley & Sons

Page : 403 pages

File Size : 22,11 MB

Release : 2011-07-05

Category : Business & Economics

ISBN : 1118160649

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Book Description

In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.







Theory of Financial Risk and Derivative Pricing

Author : Jean-Philippe Bouchaud

Publisher : Cambridge University Press

Page : 410 pages

File Size : 13,69 MB

Release : 2003-12-11

Category : Business & Economics

ISBN : 1139440276

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Book Description

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.



Essays in Honor of Joon Y. Park

Author : Yoosoon Chang

Publisher : Emerald Group Publishing

Page : 382 pages

File Size : 46,41 MB

Release : 2023-04-24

Category : Business & Economics

ISBN : 1837532141

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Book Description

Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.





Financial Derivatives Pricing

Author : Robert A. Jarrow

Publisher : World Scientific

Page : 609 pages

File Size : 13,76 MB

Release : 2008

Category : Business & Economics

ISBN : 9812819223

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Book Description

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.



A Practical Guide to Forecasting Financial Market Volatility

Author : Ser-Huang Poon

Publisher : John Wiley & Sons

Page : 236 pages

File Size : 18,9 MB

Release : 2005-08-19

Category : Business & Economics

ISBN : 0470856157

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Book Description

Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.



Theory of Valuation

Author : Sudipto Bhattacharya

Publisher : World Scientific

Page : 387 pages

File Size : 45,90 MB

Release : 2005

Category : Business & Economics

ISBN : 9812701028

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Book Description

The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition. This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced MasterOCOs and undergraduate courses. In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, OC Recursive Competitive Equilibrium: The Case of Homogeneous Households, OCO originally published in Econometrica in 1980."



Exotic Derivatives and Risk

Author : Mondher Bellalah

Publisher : World Scientific

Page : 617 pages

File Size : 27,11 MB

Release : 2009

Category : Business & Economics

ISBN : 9812797475

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Book Description

This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.