【衍生品定价，金融数学】 A Factor Model Approach to Derivative Pricing (2016)

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

A Factor Model Approach to Derivative Pricing

James A. Primbs



Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics.

Key features

• A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book
• A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts
• Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics
• The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach

Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme.

Table of Contents

• Building Blocks.
• Ito's Lemma.
• Stochastic Differential Equations.
• The Factor Model Approach to Arbitrage Pricing.
• Constructing A Factor Pricing Framework.
• Equity Derivatives.
• Interest and Credit Derivatives.
• Hedging.
• The Road to Risk Neutrality.

本帖隐藏的内容

原版 PDF：
A Factor Model Approach to Derivative Pricing.pdf (14.05 MB, 需要: 20 个论坛币)

2017-1-8 11:22:24 上传

需要: 20 个论坛币  [购买]

PDF 压缩包：
A Factor Model Approach to Derivative Pricing.zip (13.28 MB, 需要: 20 个论坛币) 本附件包括：

• A Factor Model Approach to Derivative Pricing.pdf

2017-1-8 11:23:31 上传

需要: 20 个论坛币  [购买]

  如果你喜欢我分享的书籍，请关注我：
https://bbs.pinggu.org/z_guanzhu.php?action=add&fuid=5975757

订阅我的文库：

【金融 + 经济 + 商学 + 国际政治】
https://bbs.pinggu.org/forum.php?mod=collection&action=view&ctid=3257

【数学 + 统计 + 计算机编程】
https://bbs.pinggu.org/forum.php?mod=collection&action=view&ctid=3258

【历史 + 心理学 + 社会自然科学】
https://bbs.pinggu.org/forum.php?mod=collection&action=view&ctid=3259

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏18 回帖

关键词：Derivative Approach Pricing Pricin factor foundation accessible structured including provides

谢谢楼主提供分享

好书，支持一下

看看

thanks a lot

感谢分享，新年快乐

谢谢楼主分享

关注一下~~~~~~~~~