A Factor Model Approach to Derivative Pricing Contributor(s): Primbs, James A. (Author) |
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ISBN: 1138426172 ISBN-13: 9781138426177 Publisher: CRC Press OUR PRICE: $218.50 Product Type: Hardcover Published: July 2017 |
Additional Information |
BISAC Categories: - Business & Economics | Finance - General - Mathematics | Probability & Statistics - General |
Physical Information: (1.00 lbs) 292 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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. A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach 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. |