Asset Pricing: -Discrete Time Approach- - Brossura

Kariya, T.; Liu, Regina

Brossura

ISBN 10: 1461348498 ISBN 13: 9781461348498

Casa editrice: Springer, 2012

Riassunto

1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli­ cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi­ ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac­ cepted principle that financial asset prices are instantly adjusted at each mo­ ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur­ ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.

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Contenuti

1. Introduction. 2. Options, Futures and Other Derivatives. 3. Basic Probability Theory. 4. Pricing Models for Financial Assets. 5. General No-Arbitrage Asset Price Theory. 6. Model Specifications in Applications. 7. Valuation of Derivatives Via Monte Carlo Methods. 8. Stock Option Theory and its Applications. 9. Currency Options. 10. The Term Structure of Spot Rates. 11. The HGM Model for Bonds and its Applications. 12. Pricing Defaultable Bonds. 13. Valuation of CD with Transfer Option. 14. Pricing Mortgage-Backed Securities. Index.

Product Description

Book by Kariya T Liu Regina

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2012
• Lingua: Inglese
• ISBN 10: 1461348498
• ISBN 13: 9781461348498
• Rilegatura: Copertina flessibile
• Numero di pagine: 288
• Contatto del produttore: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Germania