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Derivative Security Pricing Techniques, Methods and Applications

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The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito?s Lemma, martingales, Girsanov?s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field

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Detail Information

Series Title

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Call Number

338.7

Publisher

Heidelberg : Springer., 2015

Collation

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Language

English

ISBN/ISSN

9783662459065

Classification

338.7

Content Type

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Media Type

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Carrier Type

online resource

Edition

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Subject(s)

BUSINESS & ECONOMICS Finance

Specific Detail Info

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Statement of Responsibility

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Other Information

Cataloger

Kurnadi

Source

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Validator

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