Financial derivatives pricing : selected works of Robert Jarrow /

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of th...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Jarrow, Robert A.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Singapore ; Hackensack, NJ : World Scientific, ©2008.
Temas:
Derivative securities > Prices > Mathematical models.
Derivative securities > Prices > United States.
Instruments dérivés (Finances) > Prix > Modèles mathématiques.
Instruments dérivés (Finances) > Prix > États-Unis.
BUSINESS & ECONOMICS > Investments & Securities > General.
Derivative securities > Prices
Derivative securities > Prices > Mathematical models
Derivat > Wertpapier
Preistheorie
Finanzderivat.
Optionspreistheorie.
Zins.
Kreditrisiko.
Theorie.
United States
Aufsatzsammlung.
Acceso en línea:Texto completo
Descripción
Sumario:This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk. Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics.
Descripción Física:1 online resource (xv, 590 pages) : illustrations
Bibliografía:Includes bibliographical references.
ISBN:9789812819222
9812819223

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