Financial Derivatives: Pricing, Applications, and Mathematics

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9780521066792: Financial Derivatives: Pricing, Applications, and Mathematics

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.

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Críticas:

'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

'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 Appétit!' Robert Menton, Nobel Laureate, Harvard Business School

'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

'… altogether impressive …' Zentralblatt MATH

Reseña del editor:

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.

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1.

Jamil Baz, George K. Chacko
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521066794 ISBN 13: 9780521066792
Nuevos Paperback Cantidad: 1
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The Book Depository
(London, Reino Unido)
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. 226 x 152 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAZ9780521066792

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Jamil Baz
Editorial: Cambridge University Press 2008-12-15, Cambridge (2008)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge University Press 2008-12-15, Cambridge, 2008. paperback. Estado de conservación: New. Nº de ref. de la librería 9780521066792

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3.

Jamil Baz, George K. Chacko
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521066794 ISBN 13: 9780521066792
Nuevos Paperback Cantidad: 1
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The Book Depository US
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. 226 x 152 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAZ9780521066792

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Baz, Jamil
Editorial: Cambridge University Press (2008)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge University Press, 2008. PAP. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería GB-9780521066792

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George Chacko; Jamil Baz
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Estado de conservación: New. Depending on your location, this item may ship from the US or UK. Nº de ref. de la librería 97805210667920000000

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Baz, Jamil; Chacko, George K.
Editorial: Cambridge University Press (2008)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge University Press, 2008. Estado de conservación: New. 2008. 1st Edition. Paperback. This book is a graduate level manual on the pricing of financial derivatives. Num Pages: 352 pages, 16 tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 153 x 227 x 19. Weight in Grams: 536. . . . . . . Nº de ref. de la librería V9780521066792

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Baz, Jamil
Editorial: Cambridge University Press (2016)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Ria Christie Collections
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Descripción Cambridge University Press, 2016. Paperback. Estado de conservación: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Nº de ref. de la librería ria9780521066792_lsuk

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Baz, Jamil; Chacko, George K.
Editorial: Cambridge University Press
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Kennys Bookstore
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Descripción Cambridge University Press. Estado de conservación: New. 2008. 1st Edition. Paperback. This book is a graduate level manual on the pricing of financial derivatives. Num Pages: 352 pages, 16 tables. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 153 x 227 x 19. Weight in Grams: 536. . . . . . Books ship from the US and Ireland. Nº de ref. de la librería V9780521066792

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Baz, Jamil
Editorial: Cambridge University Press (2008)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge University Press, 2008. PAP. Estado de conservación: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería LQ-9780521066792

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Jamil Baz
Editorial: Cambridge University Press (2005)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge University Press, 2005. Estado de conservación: New. book. Nº de ref. de la librería ria9780521066792_rkm

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