Download A Factor Model Approach to Derivative Pricing by James A. Primbs PDF

By James A. Primbs

Written in a hugely available sort, A issue version method of by-product Pricing lays a transparent and dependent beginning for the pricing of spinoff securities dependent upon uncomplicated issue version similar absence of arbitrage rules. This distinct and unifying method presents for a large therapy of issues and types, together with fairness, interest-rate, and credits derivatives, in addition to hedging and tree-based computational tools, yet with out reliance at the heavy necessities that regularly accompany such issues.

Key features

  • A unmarried basic absence of arbitrage courting in keeping with issue versions is used to encourage all of the leads to the book

  • A based three-step method is used to lead the derivation of absence of arbitrage equations and light up center underlying strategies

  • Brownian movement and Poisson method pushed versions are handled jointly, taking into account a wide and cohesive presentation of topics

  • The ultimate bankruptcy presents a brand new method of probability impartial pricing that introduces the subject as a unbroken and common extension of the issue version method

Whether getting used as textual content for an intermediate point path in derivatives, or via researchers and practitioners who're looking a greater figuring out of the basic rules that underlie spinoff pricing, readers will take pleasure in the book’s skill to unify many disparate issues and versions less than a unmarried conceptual subject.

James A Primbs is an affiliate Professor of Finance on the Mihaylo collage of commercial and Economics at California kingdom collage, Fullerton.

Show description

Read or Download A Factor Model Approach to Derivative Pricing PDF

Best probability & statistics books

Stochastic Networks and Queues (Stochastic Modelling and Applied Probability)

Queues and stochastic networks are analyzed during this e-book with in basic terms probabilistic equipment. the aim of those lectures is to teach that basic effects from Markov approaches, martingales or ergodic conception can be utilized on to research the corresponding stochastic strategies. fresh advancements have proven that, rather than having ad-hoc equipment, a greater realizing of basic effects on stochastic strategies is essential to check the advanced habit of stochastic networks.

Economic Time Series: Modeling and Seasonality

Monetary Time sequence: Modeling and Seasonality is a targeted source on research of monetary time sequence as relates to modeling and seasonality, providing state of the art study that may rather be scattered all through different peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization among the fields of time sequence modeling and seasonal adjustment, as is mirrored either within the contents of the chapters and of their authorship, with individuals coming from academia and executive statistical companies.

Introduction to Quantitative Methods in Business: With Applications Using Microsoft Office Excel

A well-balanced and obtainable creation to the effortless quantitative tools and Microsoft® workplace Excel® functions used to steer company determination making that includes quantitative concepts crucial for modeling glossy company events, advent to Quantitative equipment in enterprise: With purposes utilizing Microsoft® workplace Excel® offers counsel to assessing real-world information units utilizing Excel.

Exponentiated Distributions (Atlantis Studies in Probability and Statistics)

This ebook comprises solely new effects, to not be chanced on in different places. additionally, extra effects scattered somewhere else within the literature are truly offered. a number of recognized distributions similar to Weibull distributions, exponentiated Burr kind XII distributions and exponentiated exponential distributions and their houses are confirmed.

Additional resources for A Factor Model Approach to Derivative Pricing

Sample text

Download PDF sample

Rated 4.37 of 5 – based on 39 votes