A factor model approach to derivative pricing

A factor model approach to derivative pricing

by Primbs, James

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Title Statements

  • Full title :A factor model approach to derivative pricing / James A. Primbs.

Edition Statements

  • Publication Date:2016

Publication Statements

  • Publisher(s):CRC Press
  • Place of Publication:Boca Raton, Florida
  • Language:eng
  • Publication Date:2016

The Physical Object

  • Description:1 online resource

Edition Identifiers

  • ISBN:9781498763332, 1498763332, 9781498763356, 1498763359, 9781498763370, 1498763375
  • oclc:ocn966445474
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.64/57

Table of Contents

Building blocks -- It's dilemma -- Stochastic differential equations -- The factor model approach to arbitrage pricing -- Constructing a factor pricing framework -- Equity derivatives -- Interest and credit derivatives -- Hedging -- Computation of solutions -- The road to risk neutrality -- Index.

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Subjects

Actif (Comptabilité) Assets (Accounting) Business & Economics -- Finance Derivative securities -- Mathematical m… Derivative securities -- Prices Instruments dérivés (Finances) -- Modèl… Instruments dérivés (Finances) -- Prix

Writers

Primbs, James

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