Low Margins, Derivative Securities, and Volatility
Author: Gerard Gennotte
Publisher:
Published: 1993
Total Pages: 46
ISBN-13:
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Author: Gerard Gennotte
Publisher:
Published: 1993
Total Pages: 46
ISBN-13:
DOWNLOAD EBOOKAuthor: Gerard Gennotte
Publisher:
Published: 1993
Total Pages: 46
ISBN-13:
DOWNLOAD EBOOKAuthor: Don M. Chance
Publisher:
Published: 1990
Total Pages: 68
ISBN-13:
DOWNLOAD EBOOKAuthor: Robert A Jarrow
Publisher: World Scientific
Published: 2024-05-03
Total Pages: 763
ISBN-13: 9811291691
DOWNLOAD EBOOKThe third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Author: T. W. Epps
Publisher: World Scientific
Published: 2007
Total Pages: 644
ISBN-13: 9812700331
DOWNLOAD EBOOKThis book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Author: Paul H. Kupiec
Publisher:
Published: 1997
Total Pages: 62
ISBN-13:
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Publisher: Lulu.com
Published: 2004
Total Pages: 294
ISBN-13: 9291316695
DOWNLOAD EBOOKAuthor: International Accounting Standards Board
Publisher:
Published: 2006
Total Pages: 104
ISBN-13:
DOWNLOAD EBOOKAuthor: Hans R. Stoll
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 143
ISBN-13: 1461557070
DOWNLOAD EBOOKSince the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.
Author: David S. Ruder
Publisher:
Published: 1988
Total Pages: 428
ISBN-13:
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