New PDF release: A Factor Model Approach to Derivative Pricing

By James A. Primbs

Written in a hugely available sort, A issue version method of by-product Pricing lays a transparent and based beginning for the pricing of spinoff securities dependent upon basic issue version comparable absence of arbitrage rules. This detailed and unifying technique presents for a large therapy of themes and types, together with fairness, interest-rate, and credits derivatives, in addition to hedging and tree-based computational tools, yet with no reliance at the heavy must haves that regularly accompany such themes.

Key features

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

  • A based three-step process is used to steer the derivation of absence of arbitrage equations and light up middle underlying recommendations

  • Brownian movement and Poisson strategy pushed types are handled jointly, making an allowance for a vast and cohesive presentation of topics

  • The ultimate bankruptcy offers a brand new method of threat impartial pricing that introduces the subject as a continuing and common extension of the issue version procedure

Whether getting used as textual content for an intermediate point direction in derivatives, or through researchers and practitioners who're looking a greater realizing of the basic rules that underlie by-product pricing, readers will relish the book’s skill to unify many disparate subject matters and types less than a unmarried conceptual subject.

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

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

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