A factor model approach to derivative pricing

by Primbs, James

Type Book

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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

Publisher(s):CRC Press, Taylor & Francis Group
Place of Publication:Boca Raton, FL
Language:eng
Publication Date:2017

The Physical Object

Description:1 online resource (xxi, 271 pages)

Edition Identifiers

ISBN:1498763332, 9781498763332
oclc:ocn971246386
LC Classification:HG6024.A3
Dewey Decimal:332.64/57

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.

Subjects

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