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Finanzderivate
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eBay-Artikelnr.:127115203118
Artikelmerkmale
- Artikelzustand
- Book Title
- Financial Derivatives: Pricing, Applications, and Mathematics
- ISBN
- 9780521815109
Über dieses Produkt
Product Identifiers
Publisher
Cambridge University Press
ISBN-10
052181510X
ISBN-13
9780521815109
eBay Product ID (ePID)
3038431014
Product Key Features
Number of Pages
350 Pages
Language
English
Publication Name
Financial Derivatives : Pricing, Applications, and Mathematics
Publication Year
2004
Subject
Investments & Securities / Derivatives, Finance / General
Type
Textbook
Subject Area
Business & Economics
Format
Hardcover
Dimensions
Item Height
1 in
Item Weight
21.3 Oz
Item Length
9.4 in
Item Width
6.3 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2002-041452
Dewey Edition
21
Reviews
'Jamil Baz and George Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.' Franco Modigliani, Nobel Laureate, MIT, 'This book is a summa in the field of financial derivatives that will become the standard reference. The authors have masterfully written a reader-friendly book, accessible to graduate students in finance as well as the practitioner without sacrificing the rigor required to explain the underlying theory.' Sadek Wahba, Managing Director of Morgan Stanley, New York, Advance praise: 'Jamil Baz and Geroge Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.' Franco Modigliani, Emeritus Professor at MIT and Nobel Laureate in Economic Science, 'In Financial Derivatives, Jamil Baz and George Chacko have shown their powerful command of the subject by combining a rigorous mathematical development with an intuitive presentation format that makes the complex analysis of derivative securities truly accessible to both the academic and practitioner who wants a deep foundation and breadth of applications. The discriminating choices of which financial instruments to include and the carefully selected examples to anchor each concept reflect their combined experiences as serious academic researchers, skilled practitioners, and seasoned teachers. The reader is in for a treat: Bon Appètit!' Robert Menton, Nobel Laureate, Harvard Business School Robert Menton (Nobel Laureate, Harvard Business School), Robert Menton, Nobel Laureate, Harvard Business School, "...excellent for industry people and for the new masters programs in quantitative financial modeling and mathematical finance...Excellent, too, is the exposition and the writing style." Darrell Duffie, Stanford Business School, "The book is fundamentally strong because it is both well-informed technically and also focused on the actual matters that matter in the markets." Martin Baxter, Nomura International, London, 'This introduction to the modeling of financial derivatives is ideal for quantitatively oriented traders, bank researchers, and masters or doctoral students in this field. The book has an elegant balance of concepts and applications that allows a full understanding of why the models work, without an overburden of technical details. Broader than its title suggests, the book contains a strong grounding in models of stochastic processes for financial applications, including portfolio choice and asset pricing theory.' Darrell Duffie, Stanford University, Advance praise:'Jamil Baz and Geroge Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.'Franco Modigliani, Emeritus Professor at MIT and Nobel Laureate in Economic Science, "...excellent for industry people and for the new mastersa programs in quantitative financial modeling and mathematical finance...Excellent, too, is the exposition and the writing style." Darrell Duffie, Stanford Business School, 'In Financial Derivatives, Jamil Baz and George Chacko have shown their powerful command of the subject by combining a rigorous mathematical development with an intuitive presentation format that makes the complex analysis of derivative securities truly accessible to both the academic and practitioner who wants a deep foundation and breadth of applications. The discriminating choices of which financial instruments to include and the carefully selected examples to anchor each concept reflect their combined experiences as serious academic researchers, skilled practitioners, and seasoned teachers. The reader is in for a treat: Bon Apptit!' Robert Menton, Nobel Laureate, Harvard Business School, "...excellent...it contains the most important ingredients for a successful textbook, viz, clarity and accessibility...it will also be useful to practitioners who need to brush up on underlying concepts." Dr. Sadek Wahba, Morgan Stanley Payne Webber
Illustrated
Yes
Dewey Decimal
332.63/2
Table Of Content
1. Introduction; 2. Preliminary mathematics; 3. Principles of financial valuation; 4. Interest rate models; 5. Mathematics of asset pricing; 6. Bibliography.
Synopsis
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations., This book is a graduate level manual on the pricing of financial derivatives. It allows the reader with basic knowledge of finance, calculus, and probability and statistics to understand the most powerful tools in applied finance. The focus is on equity derivatives, interest rate markets, and the mathematics of pricing., Combining their corporate and academic experiences, Jamil Baz and George Chacko offer financial analysts a complete, succinct account of the principles of financial derivatives pricing. Readers with a basic knowledge of finance, calculus, probability and statistics will learn about the most powerful tools in applied finance: equity derivatives, interest rate markets, and the mathematics of pricing. Baz and Chacko apply concepts such as volatility and time, and generic pricing to the valuation of conventional and more specialized cases. Other topics include: *Interest rate markets, government and corporate bonds, swaps, caps, and swaptions *Factor models and term structure consistent models *Mathematical allocation decisions such as mean-reverting processes and jump processes *Stochastic calculus and related tools such as Kilmogorov equations, martingales techniques, stocastic control and partial differential equations Meant for financial analysts and graduate students in finance and economics, Financial Derivatives begins with basic economic principles of risk and builds up various pricing and hedging techniques from those principles. Baz and Chacko simplify the mathematical presentation, and balance theory and real analysis, making it a more accessible and practical manual. Jamil Baz holds an M.S. in Management from MIT and a Ph.D. in Business Economics from Harvard University. He is a Managing Director at Deutsche Bank in London. George Chacko has a B.S. from MIT in electrical engineering and a Ph.D. in Business Economics from Harvard University. He is an Associate Professor of Business Administration at Harvard Business School. Both authors have worked extensively for financial services firms in the private sector. They have published in leading academic journals including the Review of Financial Studies and the Journal of Financial Economics as well as practitioner journals such as the Journal of Fixed Income and the Journal of Applied Corporate Finance.
LC Classification Number
HG6024.A3 B396 2004
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