Title Statements
- Full title :A factor model approach to derivative pricing / James A. Primbs, California State University, Fullerton, USA.
Edition Statements
- Publication Date:©2014
Publication Statements
- Publisher(s):CRC Press
- Place of Publication:Boca Raton, Florida
- Language:eng
- Publication Date:©2014
Notes
"A Chapman & Hall book."
The Physical Object
- Description:1 online resource : : text file, PDF
Edition Identifiers
- ISBN:9781315380292, 1315380293, 9781498763332, 1498763332, 9781315320021, 1315320029, 9781498763370, 1498763375
- DOI:10.1201/9781315380292
- oclc:ocn967412449
- LC Classification:HG6024.A3
- Dewey Decimal:332.645
Table of Contents
Chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity derivatives -- chapter 7. Interest rate and credit derivatives -- chapter 8. Hedging -- chapter 9. Computation of solutions -- chapter 10. The road to risk neutrality.
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