Derivative security pricing : techniques, methods and applications /

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Bibliographic Details
Author / Creator:	Chiarella, Carl, author.
Imprint:	Heidelberg : Springer, [2015] ©2015
Description:	1 online resource.
Language:	English
Series:	Dynamic modeling and econometrics in economics and finance ; volume 21 Dynamic modeling and econometrics in economics and finance ; v. 21.
Subject:	Derivative securities -- Prices -- Mathematical models. Derivative securities -- Prices -- Mathematical models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11092701

Hidden Bibliographic Details
Other authors / contributors:	He, Xue-Zhong, author. Nikitopoulos, Christina Sklibosios, author.
ISBN:	9783662459065 366245906X 3662459051 9783662459058 9783662459058
Notes:	Includes bibliographical references and index. Online resource; title from PDF title page (EBSCO, viewed April 1, 2015).
Summary:	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.
Other form:	Printed edition: 9783662459058
Standard no.:	10.1007/978-3-662-45906-5

Table of Contents:

Part I The Fundamentals of Derivative Security Pricing
1 The Stock Option Problem
2 Stochastic Processes for Asset Price Modelling
3 An Initial Attempt at Pricing an Option
4 The Stochastic Differential Equation
5 Manipulating Stochastic Differential Equations and Stochastic Integrals
6 Ito's Lemma and Its Application
7 The Continuous Hedging Argument
8 Martingale Interpretation of No-Riskless Arbitrage
9 The Partial Differential Equation Approach Under Geometric Brownian Motion
10 Pricing Derivative Securities
A General Approach
11 Applying the General Pricing Framework
12 Jump-Diffusion Processes
Option Pricing under Jump-Diffusion Processes
14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process
15 Stochastic Volatility
16 Pricing the American Feature
17 Pricing Options Using Binominal Trees
18 Volatility Smiles
Part II Interest Rate Modelling
19 Allowing for Stochastic Interest Rates in the B-S Model
20 Change of Numeraire
21 The Paradigm Interest Rate Option Problem
22 Modelling Interest Rate Dynamics
23 Interest Rate Derivatives
One Factor Spot Rate Models
24 Interest Rate Derivatives
Multi-Factor Models
25 The Heath-Jarrow-Morton Framework
26 The LIBOR Market Model.

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