A factor model approach to derivative pricing

James A. Primbs, California State University, Fullerton, USA

chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity derivatives -- chapter 7. Interest rate and credit derivatives -- chapter 8. Hedging -- chapter 9. Computation of solutions -- chapter 10. The road to risk neutrality.

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Year of publication:	[2014]
Authors:	Primbs, James A.
Publisher:	Boca Raton, Florida : CRC Press,
Subject:	Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| Faktorenanalyse \| Factor analysis \| CAPM

Extent:	1 online resource
Type of publication:	Book / Working Paper
Language:	English
ISBN:	978-1-315-38029-2 ; 978-1-315-32002-1 ; 978-1-4987-6337-0 ; 978-1-138-42617-7 ; 978-1-4987-6332-5
Other identifiers:	10.1201/9781315380292 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015069196