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

By James A. Primbs

Written in a hugely available type, A issue version method of spinoff Pricing lays a transparent and based starting place for the pricing of by-product securities established upon basic issue version comparable absence of arbitrage principles. This distinct and unifying technique presents for a huge remedy of themes and types, together with fairness, interest-rate, and credits derivatives, in addition to hedging and tree-based computational tools, yet with out reliance at the heavy must haves that frequently accompany such issues.

Key features

  • A unmarried basic absence of arbitrage dating in line with issue versions is used to inspire all of the leads to the book

  • A established three-step approach is used to lead the derivation of absence of arbitrage equations and remove darkness from middle underlying suggestions

  • Brownian movement and Poisson method pushed versions are handled jointly, taking into consideration a extensive and cohesive presentation of topics

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

Whether getting used as textual content for an intermediate point path in derivatives, or by means of researchers and practitioners who're looking a greater figuring out of the elemental principles that underlie spinoff pricing, readers will have fun with the book’s skill to unify many disparate issues and types lower than a unmarried conceptual subject.

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

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