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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Options, Futures and Other Derivatives,ts for constructing various financial positions to hedge against or control financial risks. Here risk is a possibility of loss and hence can be a change in the prices of assets such as currency, stocks, or bonds that gives a loss. For different purposes, different kinds of derivatives can be constr

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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 t

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Stock Option Theory and Its Applications, .-normal process, then the theoretical value at time . of a European call with maturity . = . can be obtained from the Black-Scholes (.) formula as follows; . The corresponding value of a European put in (1.2) is given via the Put-Call Parity in Chapter 2. Since these formulas do not depend explici

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Currency Options,, is an option to do with risk of two or more different currencies. Since the value of a currency is determined by its exchange rate, the term “currency options” is usually used synonymously with term “exchange rate options” or “options on exchange rate.” Currencies options are often used by import

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Pricing Defaultable Bonds,issuer. This includes the risk of the issuer declaring bankruptcy, deferring payment of coupons, or being downgraded in its credit quality rating. Since there are no unique ways to define or observe the credit quality, we often rely on the quality rating provided by well-known rating institutions su

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Valuation of Certificate of Deposit (CD) With Transfer Option,et. A certificate of deposit (CD) is one of the simplest investment tools offered by banks. The bank issues a certificate stating the amount of cash it receives, the length of time to maturity and the prefixed interest rate it agrees to pay to the owner of the certificate. Recently, many banks in Ja

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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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Book 2003 tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli­ cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The boo

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Lecture Notes in Computer Sciencerve well as a textbook on financial asset pricing. It should be accessible to a broad audience, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science.

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