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:2017

Publication Statements

The Physical Object

  • Description:xxi, 271 pages : : illustrations ; : 25 cm

Edition Identifiers

  • ISBN:9781498763325, 1498763324
  • oclc:ocn961034988
  • 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) Derivative securities -- Mathematical m… Derivative securities -- Prices Instruments dérivés (Finances) -- Modèl… Instruments dérivés (Finances) -- Prix

Writers

Primbs, James

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