Titlebook: Derivatives and Internal Models; Modern Risk Manageme Hans-Peter Deutsch,Mark W. Beinker Book 2019Latest edition The Editor(s) (if applicab

mechanical

Innovative

ArbitrageArbitrage considerations alone are sufficient for deriving relations such as the put-call parity or determining forward prices.

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The Black-Scholes Differential EquationHaving used arbitrage considerations to derive various properties of derivatives, in particular of option prices (upper and lower bounds, parities, etc.), we now demonstrate how such arbitrage arguments, with the help of results from stochastic analysis, namely Ito’s formula ., can be used to derive the famous Black-Scholes equation.

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Binomial and Trinomial Trees. and . are very intuitive and comparatively easy to implement tools to calculate prices and sensitivity parameters of derivatives while avoiding direct reference to the fundamental differential equations governing the price of the instrument.

bizarre

Numerical Solutions Using Finite DifferencesOne of the best known and widely used numerical methods to solve partial differential equations in finance and elsewhere is the ..

Multiple

機(jī)械

Interest Rates and Term Structure ModelsSo far, with only few exceptions (e.g. Sect. .), we have considered interest rates as being deterministic or even constant. This directly contradicts to the simple existence of interest rate options.

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白楊

Hans-Peter Deutsch,Mark W. BeinkerProvides an introduction to the valuation and risk management of modern financial instruments.Includes updates to reflect the myriad of changes the industry has seen over the past 5 years.Covers new a

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Finance and Capital Markets Serieshttp://image.papertrans.cn/d/image/268138.jpg