Derivatives, risk management & value / Mondher Bellalah.

Format:

Book

Author/Creator:

Bellalah, Mondher.

Language:

English

Subjects (All):

Derivative securities.

Financial risk management.

Value.

Physical Description:

xlv, 949 p. : ill. (some col.)

Edition:

1st ed.

Place of Publication:

Hackensack, N.J. : World Scientific, 2010.

Language Note:

English

Summary:

Covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations and managing and monitoring portfolios of derivatives in real time.

Contents:

pt. 1. Financial markets and financial instruments : basic concepts and strategies

pt. 2. Pricing derivatives and their underlying assets in a discrete-time setting

pt. 3. Option pricing in a continuous-time setting : basic models, extensions and applications

pt. 4. Mathematical foundations of option pricing models in a continuous-time setting : basic concepts and extensions

pt. 5. Extensions of option pricing theory to American options and interest rate instruments in a continuous-time setting : dividends, coupons and stochastic interest rates

pt. 6. Generalization of option pricing models and stochastic volatility

pt. 7. Option pricing models and numerical analysis

pt. 8. Exotic derivatives.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

ISBN:

9786612757631

9781282757639

1282757636

9789812838636

9812838635

OCLC:

729020017