000 02236nam a22003378i 4500
001 CR9780511806643
003 UkCbUP
005 20200124160251.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 101021s2004||||enk o ||1 0|eng|d
020 _a9780511806643 (ebook)
020 _z9780521815109 (hardback)
020 _z9780521066792 (paperback)
040 _aUkCbUP
_beng
_erda
_cUkCbUP
050 0 0 _aHG6024.A3
_bB396 2004
082 0 0 _a332.63/2
_221
100 1 _aBaz, Jamil,
_eauthor.
245 1 0 _aFinancial derivatives :
_bpricing, applications, and mathematics /
_cJamil Baz, George Chacko.
264 1 _aCambridge :
_bCambridge University Press,
_c2004.
300 _a1 online resource (xi, 338 pages) :
_bdigital, PDF file(s).
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
500 _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
520 _aThis book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.
650 0 _aDerivative securities.
700 1 _aChacko, George,
_eauthor.
776 0 8 _iPrint version:
_z9780521815109
856 4 0 _uhttps://doi.org/10.1017/CBO9780511806643
999 _c519513
_d519511