03517nmm a2200409 u 4500001001200000003002700012005001700039007002400056008004100080020001800121100002000139245016300159250001700322260006300339300006400402505100200466653003701468653001201505653004801517653002401565653002101589653005901610653001901669653001701688653004001705653003001745653002501775700002801800700004901828710003401877041001901911989003601930490006301966856007202029082000802101520099802109EB001029243EBX0100000000000000082283300000000000000.0cr|||||||||||||||||||||150402 ||| eng a97836624590651 aChiarella, Carl00aDerivative Security PricinghElektronische RessourcebTechniques, Methods and Applicationscby Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos a1st ed. 2015 aBerlin, HeidelbergbSpringer Berlin Heidelbergc2015, 2015 aXVI, 616 p. 154 illus., 38 illus. in colorbonline resource0 aPart I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 Manipulating Stochastic Differential Equations and Stochastic Integrals -- 6 Ito's Lemma and Its Application -- 7 The Continuous Hedging Argument -- 8 Martingale Interpretation of No-Riskless Arbitrage -- 9 The Partial Differential Equation Approach Under Geometric Brownian Motion -- 10 Pricing Derivative Securities - A General Approach -- 11 Applying the General Pricing Framework -- 12 Jump-Diffusion Processes -- Option Pricing under Jump-Diffusion Processes -- 14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process -- 15 Stochastic Volatility -- 16 Pricing the American Feature -- 17 Pricing Options Using Binominal Trees -- 18 Volatility Smiles -- Part II Interest Rate Modelling -- 19 Allowing for Stochastic Interest Rates in the B aDistribution (Probability theory aFinance aProbability Theory and Stochastic Processes aOperations research aFinance, general aMacroeconomics/Monetary Economics//Financial Economics aMacroeconomics aOptimization aOperations Research/Decision Theory aMathematical optimization aQuantitative Finance1 aHe, Xue-Zhonge[author]1 aSklibosios Nikitopoulos, Christinae[author]2 aSpringerLink (Online service)07aeng2ISO 639-2 bSpringeraSpringer eBooks 2005-0 aDynamic Modeling and Econometrics in Economics and Finance uhttps://doi.org/10.1007/978-3-662-45906-5?nosfx=yxVerlag3Volltext0 a332 aThe book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field