Titlebook: Asset Pricing; -Discrete Time Appro Takeaki Kariya,Regina Y. Liu Book 2003 Springer Science+Business Media New York 2003 Arbitrage.Asset Pr

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General No-Arbitrage Asset Price Theory,In this chapter we develop a no-arbitrage price theory in a general framework. This gives rise to pricing formulas for derivatives as well as to a theory on the term structure of interest rates. We begin by stating the fundamental theorem for no-arbitrage, which is the main theme of this chapter, and then understand what the statement carries.

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Model Specifications in Applications,This chapter discusses some important specification problems that arise in applications of the no-arbitrage pricing theory. These include testing fitness of an assumed model, various aspects of a multi-factor model, and relations between the models under probability measures . and ..

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The HJM Model for Bonds and Its Applications,In Chapter 10 the price of a discount bond at . = . with maturity . = . was expressed as

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https://doi.org/10.1007/978-1-4419-9230-7Arbitrage; Asset Pricing; Bonds; Finance; Futures; Options

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978-1-4613-4849-8Springer Science+Business Media New York 2003

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Basic Probability Theory,tic processes in the next chapter. In particular, we focus on multivariate normal distributions and conditional expectations, since most models for financial asset prices used in derivative pricing are conditionally heteroscedastic normal models. Familiarity with these two subjects is required for the remaining of the book.

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Pricing Mortgage-Backed Securities,o to the investors who purchase the securities. In the case of residential mortgage, the payments are usually protected against the default risk of mortgagors by a guaranty institution. A class of residential mortgages is pooled and collateralized, on which MBS’s are securitized.

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