A factor model approach to derivative pricing

著者

    • Primbs, James A.

書誌事項

A factor model approach to derivative pricing

James A. Primbs

CRC Press, c2017

  • : pbk

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注記

"A Chapman & Hall book"

Includes bibliographical references (p. 263-266) and index

内容説明・目次

内容説明

Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book's ability to unify many disparate topics and models under a single conceptual theme.

目次

Building Blocks. Ito's Lemma. Stochastic Differential Equations. The Factor Model Approach to Arbitrage Pricing. Constructing A Factor Pricing Framework. Equity Derivatives. Interest and Credit Derivatives.Hedging. The Road to Risk Neutrality.

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