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e-book

A Factor Model Approach to Derivative Pricing (Cód: 9484291)

James A. Primbs

Taylor & Francis Ltd (Livros Digitais)

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A Factor Model Approach to Derivative Pricing

R$179,85

Descrição

Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics.
Key features


A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book


A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts


Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics


The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach

Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book'apos;s ability to unify many disparate topics and models under a single conceptual theme.
James A Primbs is an Associate Professor of Finance at the Mihaylo College of Business and Economics at California State University, Fullerton.

Características

Peso 0.00 Kg
Produto sob encomenda Não
Marca Taylor & Francis Ltd (Livros Digitais)
Número de Páginas 294 (aproximado)
Idioma 337
Acabamento e-book
Territorialidade Internacional
Formato Livro Digital Pdf
Gratuito Não
Proteção Drm Sim
Tamanho do Arquivo 13959
Início da Venda 19/12/2016
Código do Formato Pdf
Cód. Barras 9781498763332
Ano da Publicação 2016
AutorJames A. Primbs