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Financial derivatives : pricing applications, and mathematics / Jamil Baz, George Chacko.

By: Contributor(s): Material type: TextTextLanguage: English Publication details: Cambridge : Cambridge University Press, 2003.Description: xi, 338 páginas : tablas, gráficas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 052181510X
Subject(s): DDC classification:
  • 332.632  B19f  21
Other classification:
  • O16
Contents:
1. Preliminary mathematics: 1.1. Random Walk ; 1.2. Another take on volatility and time ; 1.3. A first glance at Ito’s lemma ; 1.4. Continuous time: Brownian Motion ; More o Ito’s Lemma ; 1.5. Two-dimensional Brownian Motion ; 1.6. Bivariate Ito’s Lemma ; 1.7. Three paradoxes of finance -- 2. Principles of financial valuation: 2.1. Uncertainty, utility theory, and risk ; 2.2. Risk and the equilibrium pricing of securities ; 2.3. The binomial option-pricing model ; 2.4. Limiting option-pricing formula ; 2.5. Continuous-time models ; 2.6. Exotic options -- 3. Interest rate models: 3.1. Interest rate derivatives: not so simple ; 3.2. Bonds and yields ; 3.3. Naïve models of interest rate risk ; 3.4. An overview of interest rate derivatives ; 3.5. Yield curve Swaps ; 3.6. Factor models ; 3.7. Term-structure-consistent models ; 3.8. Risky bonds and their-toy model ; 3.9. The heath, Jarrow, and Morton approach ; 3.10. Interest rates as options -- 4. Mathematics of asset pricing: 4.1. Random Walks ; 4.2. Arithmetic Brownian Motion ; 4.3. Geometric Brownian motion ; 4.4. Ito calculus ; 4.5. Mean-reverting processes ; 4.6. Mean-reverting processes ; 4.6. Jump process ; 4.7. Kolmogorov equations ; 4.8. Martingales ; 4.9. Dynamic programming ; 4.10. Partial differential equations.
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1. Preliminary mathematics: 1.1. Random Walk ; 1.2. Another take on volatility and time ; 1.3. A first glance at Ito’s lemma ; 1.4. Continuous time: Brownian Motion ; More o Ito’s Lemma ; 1.5. Two-dimensional Brownian Motion ; 1.6. Bivariate Ito’s Lemma ; 1.7. Three paradoxes of finance -- 2. Principles of financial valuation: 2.1. Uncertainty, utility theory, and risk ; 2.2. Risk and the equilibrium pricing of securities ; 2.3. The binomial option-pricing model ; 2.4. Limiting option-pricing formula ; 2.5. Continuous-time models ; 2.6. Exotic options -- 3. Interest rate models: 3.1. Interest rate derivatives: not so simple ; 3.2. Bonds and yields ; 3.3. Naïve models of interest rate risk ; 3.4. An overview of interest rate derivatives ; 3.5. Yield curve Swaps ; 3.6. Factor models ; 3.7. Term-structure-consistent models ; 3.8. Risky bonds and their-toy model ; 3.9. The heath, Jarrow, and Morton approach ; 3.10. Interest rates as options -- 4. Mathematics of asset pricing: 4.1. Random Walks ; 4.2. Arithmetic Brownian Motion ; 4.3. Geometric Brownian motion ; 4.4. Ito calculus ; 4.5. Mean-reverting processes ; 4.6. Mean-reverting processes ; 4.6. Jump process ; 4.7. Kolmogorov equations ; 4.8. Martingales ; 4.9. Dynamic programming ; 4.10. Partial differential equations.

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