Financial Derivatives Pricing: Selected Works Of Robert Jarrow
Regular price
€241.80
Black-Scholes
BlackAcAEURA"Scholes
Black–Scholes
Calls
Category=PB
Derivatives
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
Forwards
Futures
Hedging
HJM
Margin Requirements
Market Manipulation
Martingale Measure
Options
Puts
Product details
- ISBN 9789812819208
- Publication Date: 09 Oct 2008
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
Secure
checkout
Fast Shipping
Easy returns
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 like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
