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...
| Основен автор: | Jarrow, Robert A. |
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| Формат: | Електронен |
| Език: | English |
| Публикувано: |
Singapore ; Hackensack, NJ :
World Scientific,
℗♭2008.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=521224 |
| Подобни документи: |
Print version::
Financial derivatives pricing. |
| Резюме: |
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. |
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| Физически характеристики: |
1 online resource (xv, 590 pages) : illustrations |
| Библиография: |
Includes bibliographical references. |
| ISBN: |
9789812819222 9812819223 |