Quantitative Modeling of Derivative Securities: From Theory To Practice

Marco Avellaneda, Peter Laurence

$88.99

Paperback

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CRC Press
30 June 2020

Economic statistics; Investment & securities

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a financial engineering approach, the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

By: Marco Avellaneda, Peter Laurence
Imprint: CRC Press
Country of Publication: United Kingdom
Dimensions: Height: 246mm, Width: 174mm,
Weight: 617g
ISBN: 9780367579142
ISBN 10: 0367579146
Pages: 322
Publication Date: 30 June 2020
Audience: College/higher education , Primary
Format: Paperback
Publisher's Status: Active

Arbitrage Pricing Theory: The One-Period Model. Binomial Option Pricing Model. Analysis of the Black-Scholes Formula. Refinements of the Binomial Model. American-Style Options and Time-Optionality. Trinomial Trees and Finite-Difference Schemes. Brownian Motion and Ito Calculus. An Introduction to Exotic Options. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem. Continuous-Time Finance: An Introduction. Valuation of Derivative Securities. Fixed-Income Securities and the Term-Structure of Interest Rates.. The Heath-Jarrow-Morton Theorem and Multidimensional Term-Structure Model. Exponential-Affine Models. Interest-Rate Options. Appendix: The Intertemporal Discrete Model.

Marco Avellaneda, Peter Laurence

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Quantitative Modeling of Derivative Securities: From Theory To Practice

Marco Avellaneda, Peter Laurence

$88.99

Paperback

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