Financial Derivatives: Pricing, Applications, and Mathematics

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9780521066792: Financial Derivatives: Pricing, Applications, and Mathematics

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Recensione:

'This introduction to the modeling of financial derivatives is ideal for quantitatively oriented traders, bank researchers, and masters or doctoral students in this field. The book has an elegant balance of concepts and applications that allows a full understanding of why the models work, without an overburden of technical details. Broader than its title suggests, the book contains a strong grounding in models of stochastic processes for financial applications, including portfolio choice and asset pricing theory.' Darrell Duffie, Stanford University

'In Financial Derivatives, Jamil Baz and George Chacko have shown their powerful command of the subject by combining a rigorous mathematical development with an intuitive presentation format that makes the complex analysis of derivative securities truly accessible to both the academic and practitioner who wants a deep foundation and breadth of applications. The discriminating choices of which financial instruments to include and the carefully selected examples to anchor each concept reflect their combined experiences as serious academic researchers, skilled practitioners, and seasoned teachers. The reader is in for a treat: Bon Appétit!' Robert Menton, Nobel Laureate, Harvard Business School

'Jamil Baz and George Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.' Franco Modigliani, Nobel Laureate, MIT

'This book is a summa in the field of financial derivatives that will become the standard reference. The authors have masterfully written a reader-friendly book, accessible to graduate students in finance as well as the practitioner without sacrificing the rigor required to explain the underlying theory.' Sadek Wahba, Managing Director of Morgan Stanley, New York

'… altogether impressive …' Zentralblatt MATH

Descrizione del libro:

This book is a graduate level manual on the pricing of financial derivatives. It allows the reader with basic knowledge of finance, calculus, and probability and statistics to understand the most powerful tools in applied finance. The focus is on equity derivatives, interest rate markets, and the mathematics of pricing.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Jamil Baz, George K. Chacko
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Condizione libro: New. 226 x 152 mm. Language: English . Brand New Book ***** Print on Demand *****.This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito s lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations. Codice libro della libreria AAV9780521066792

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Baz, Jamil
Editore: Cambridge University Press (2008)
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Descrizione libro Cambridge University Press, 2008. PAP. Condizione libro: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IQ-9780521066792

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Jamil Baz, George K. Chacko
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Condizione libro: New. 226 x 152 mm. Language: English . Brand New Book ***** Print on Demand *****. This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito s lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations. Codice libro della libreria AAV9780521066792

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Baz, Jamil
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ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descrizione libro Cambridge University Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780521066792_lsuk

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ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descrizione libro Cambridge Univ Pr, 2009. Paperback. Condizione libro: Brand New. 1st edition. 352 pages. 8.75x5.75x1.00 inches. In Stock. Codice libro della libreria __0521066794

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Descrizione libro Paperback. Condizione libro: New. This item is printed on demand. Item doesn't include CD/DVD. Codice libro della libreria 1746048

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George Chacko
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Descrizione libro Cambridge University Press. Paperback. Condizione libro: New. Paperback. 352 pages. Dimensions: 8.9in. x 6.0in. x 0.9in.Combining their corporate and academic experiences, Jamil Baz and George Chacko offer financial analysts a complete, succinct account of the principles of financial derivatives pricing. Readers with a basic knowledge of finance, calculus, probability and statistics will learn about the most powerful tools in applied finance: equity derivatives, interest rate markets, and the mathematics of pricing. Baz and Chacko apply concepts such as volatility and time, and generic pricing to the valuation of conventional and more specialized cases. Other topics include: Interest rate markets, government and corporate bonds, swaps, caps, and swaptions Factor models and term structure consistent models Mathematical allocation decisions such as mean-reverting processes and jump processes Stochastic calculus and related tools such as Kilmogorov equations, martingales techniques, stocastic control and partial differential equations Meant for financial analysts and graduate students in finance and economics, Financial Derivatives begins with basic economic principles of risk and builds up various pricing and hedging techniques from those principles. Baz and Chacko simplify the mathematical presentation, and balance theory and real analysis, making it a more accessible and practical manual. Jamil Baz holds an M. S. in Management from MIT and a Ph. D. in Business Economics from Harvard University. He is a Managing Director at Deutsche Bank in London. George Chacko has a B. S. from MIT in electrical engineering and a Ph. D. in Business Economics from Harvard University. He is an Associate Professor of Business Administration at Harvard Business School. Both authors have worked extensively for financial services firms in the private sector. They have published in leading academic journals including the Review of Financial Studies and the Journal of Financial Economics as well as practitioner journals such as the Journal of Fixed Income and the Journal of Applied Corporate Finance. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Codice libro della libreria 9780521066792

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Baz, Jamil
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Descrizione libro Cambridge University Press, 2008. PAP. Condizione libro: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria LQ-9780521066792

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Jamil Baz,George Chacko
Editore: Cambridge University Press 2008-12-15 (2008)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descrizione libro Cambridge University Press 2008-12-15, 2008. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-ING-00925377

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Baz, Jamil
Editore: Cambridge University Press (2017)
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Descrizione libro Cambridge University Press, 2017. Paperback. Condizione libro: New. This item is printed on demand. Codice libro della libreria 0521066794

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