James A. Primbs's A Factor Model Approach to Derivative Pricing PDF

By James A. Primbs

Written in a hugely obtainable variety, A issue version method of by-product Pricing lays a transparent and established origin for the pricing of spinoff securities dependent upon easy issue version comparable absence of arbitrage rules. This distinctive and unifying technique presents for a huge therapy of issues and types, together with fairness, interest-rate, and credits derivatives, in addition to hedging and tree-based computational equipment, yet with out reliance at the heavy must haves that frequently accompany such subject matters.

Key features

  • A unmarried basic absence of arbitrage dating in accordance with issue versions is used to encourage the entire leads to the book

  • A dependent three-step method is used to steer the derivation of absence of arbitrage equations and remove darkness from middle underlying suggestions

  • Brownian movement and Poisson strategy pushed versions are taken care of jointly, taking into account a vast and cohesive presentation of topics

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

Whether getting used as textual content for an intermediate point path in derivatives, or by way of researchers and practitioners who're looking a greater figuring out of the elemental principles that underlie by-product pricing, readers will enjoy the book’s skill to unify many disparate themes and versions less than a unmarried conceptual subject matter.

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

Show description

Read or Download A Factor Model Approach to Derivative Pricing PDF

Similar probability & statistics books

Eswar G. Phadia's Prior Processes and Their Applications: Nonparametric PDF

This e-book offers a scientific and finished remedy of varied previous tactics which have been built during the last 4 many years so one can take care of the Bayesian method of fixing a few nonparametric inference difficulties. functions of those priors in quite a few estimation difficulties are offered.

Get Stereology for Statisticians (Chapman & Hall/CRC Monographs PDF

Commencing the rules of stereology from a statistical standpoint, this e-book makes a speciality of either simple concept and useful implications. The authors speak about how one can successfully converse statistical matters to consumers, draw awareness to universal methodological blunders, and supply references to crucial literature.

Dirichlet Forms Methods for Poisson Point Measures and Lévy - download pdf or read online

A simplified method of Malliavin calculus tailored to Poisson random measures is built and utilized during this e-book. known as the “lent particle approach” it really is in accordance with perturbation of the placement of debris. Poisson random measures describe phenomena related to random jumps (for example in mathematical finance) or the random distribution of debris (as in statistical physics).

New PDF release: Categorical Data Analysis by Example

Introduces the major options within the research of categoricaldata with illustrative examples and accompanying R code This publication is aimed toward all those that desire to realize tips to examine express info with no getting immersed in complex arithmetic and while not having to struggle through a large number of prose.

Extra info for A Factor Model Approach to Derivative Pricing

Sample text

Download PDF sample

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

by Jason

Rated 4.56 of 5 – based on 37 votes