Financial Derivatives: Pricing, Applications, and Mathematics

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9780521066792: Financial Derivatives: Pricing, Applications, and Mathematics

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.

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Book Description:

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 three-fold focus is on equity derivatives, interest rate markets, and the mathematics of pricing. These concepts are applied in turn to the valuation of conventional and more specialized cases such as equity derivatives, government bonds, corporate bonds, swaps, caps, and swaptions.

About the Author:

Jamil Baz is the chief investment strategist of GLG, a London-based hedge fund. Prior to holding this position, he was a portfolio manager with PIMCO in London, a managing director in the Proprietary Trading Group of Goldman Sachs, chief investment strategist of Deutsche Bank, and executive director of Lehman Brothers fixed income research division. Dr Baz teaches financial economics at Oxford University. He has degrees from the London School of Economics (M.Sc.), MIT (S.M.), and Harvard University (A.M., Ph.D.).

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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: 10
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****.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 AAV9780521066792

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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 US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería IQ-9780521066792

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Jamil Baz, George K. Chacko
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****. 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 AAV9780521066792

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Baz, Jamil/ Chacko, George
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ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción Cambridge Univ Pr, 2009. Paperback. Estado de conservación: Brand New. 1st edition. 352 pages. 8.75x5.75x1.00 inches. In Stock. Nº de ref. de la librería __0521066794

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Baz, Jamil
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ISBN 10: 0521066794 ISBN 13: 9780521066792
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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
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Descripción Cambridge University Press, 2017. Paperback. Estado de conservación: New. Never used! This item is printed on demand. Nº de ref. de la librería 0521066794

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Descripción Cambridge University Press 1/1/2009, 2009. Paperback or Softback. Estado de conservación: New. Financial Derivatives: Pricing, Applications, and Mathematics. Book. Nº de ref. de la librería BBS-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 , GEORGE CHACKO
ISBN 10: 0521066794 ISBN 13: 9780521066792
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Descripción 2009. Paperback. Estado de conservación: NEW. 9780521066792 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0443499

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Descripción Cambridge University Press. Paperback. Estado de conservación: New. Paperback. 352 pages. Dimensions: 8.9in. x 6.0in. x 0.9in.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. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Nº de ref. de la librería 9780521066792

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