Financial Derivatives Pricing : Selected Works of Robert Jarrow - Robert A. Jarrow

Financial Derivatives Pricing

Selected Works of Robert Jarrow

By: Robert A. Jarrow (Editor)

Hardcover | 19 October 2008

At a Glance

Hardcover


$259.17

or 4 interest-free payments of $64.79 with

 or 

Aims to ship in 7 to 10 business days

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

More in Applied Mathematics

Recent Improvements in the Theory of Chaotic Attractors - Lyudmila Efremova
Fuzzy Methods for Assessment and Decision Making - Michael Gr. Voskoglou

RRP $264.95

$199.95

25%
OFF
The Maths Book : Big Ideas Simply Explained - DK

RRP $42.99

$36.50

15%
OFF
Essentials of Medical Statistics : 2nd Edition - Betty R. Kirkwood

RRP $91.95

$56.90

38%
OFF
I am Tim : Life, Politics and Beyond - Peter Rees

RRP $40.00

$35.35

12%
OFF
Love Triangle : The Life-changing Magic of Trigonometry - Matt Parker
Game Theory : 2nd edition - Eilon  Solan

RRP $106.95

$89.75

16%
OFF
Statistics Unplugged - Sally Caldwell

RRP $283.75

$266.95

Core Maths for the Biosciences - Martin B. Reed

RRP $125.35

$113.25

10%
OFF
Intermediate Financial Theory : 3rd Edition - Jean-Pierre Danthine

RRP $126.95

$88.75

30%
OFF
Engineering Mathematics : 5th edition - Anthony Croft

RRP $147.95

$118.80

20%
OFF
Introduction to Stochastic Processes : 2nd Edition - Gregory F.  Lawler

RRP $204.00

$162.25

20%
OFF
Bayesian Statistical Methods : Texts in Statistical Science - Brian J. Reich
Essential Mathematics and Statistics for Science : 2nd Edition - Graham Currell