Derivative Security Pricing: Techniques, Methods and Applications (Dynamic Modeling and Econometrics in Economics and Finance) (by Christina Sklibosios Nikitopoulos, Xue-Zhong He, Carl Chiarella)


Author(s): Christina Sklibosios Nikitopoulos, Xue-Zhong He, Carl Chiarella

Publisher: Springer
Publish date: 2015-05-14
ISBN-10: 3662459051
ISBN-13: 9783662459058
Language: English
Description: The book presents applications of stochastic calculus to derivative
security pricing and interest rate modelling. By focusing more on
the financial intuition of the applications rather than the
mathematical formalities, the book provides the essential knowledge
and understanding of fundamental concepts of stochastic finance,
and how to implement them to develop pricing models for derivatives
as well as to model spot and forward interest rates. Furthermore an
extensive overview of the associated literature is presented and
its relevance and applicability are discussed. Most of the key
concepts are covered including Ito’s Lemma, martingales,… more…

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