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. |
|---|---|
| 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. |
Съдържание:
- Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd
- Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow
- Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow
- The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow
- Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni
- Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow
- Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow
- Liquidity Risk and Arbitrage Pricing Theory / U. Cʹetin, R. Jarrow and P. Protter
- Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Cʹetin, R. Jarrow, P. Protter and M. Warachka
- Liquidity Premiums and the Expectations Hypothesis / R. Jarrow
- Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield
- The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow
- Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton
- Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow.
- Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow
- Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim
- Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull
- A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull
- Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu
- Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu
- Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow
- Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang
- Modeling Credit Risk with Partial Information / U. Cʹetin, R. Jarrow, P. Protter and Y. Yildirim.