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A factor model approach to derivative pricing

By: Primbs, James A.
Material type: materialTypeLabelBookPublisher: Boca Raton CRC Press Taylor and Francis Group 2017Description: xxi, 271 p. 25 cm.ISBN: 9781498763325.Subject(s): Derivative securities - prices | Derivative securities - mathematical models | Assets - accounting | Finance - accounting | Stock value - statisticsDDC classification: 332.6457 Summary: Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Key features A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme. https://www.crcpress.com/A-Factor-Model-Approach-to-Derivative-Pricing/Primbs/p/book/9781498763325
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Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics.

Key features

A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book

A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts

Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics

The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach

Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme.


https://www.crcpress.com/A-Factor-Model-Approach-to-Derivative-Pricing/Primbs/p/book/9781498763325

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