Financial derivatives pricing [Texte imprimé] : selected works of Robert Jarrow / Robert A. Jarrow, Monographie imprimée
Language: anglais.Country: Singapour.Publication : Singapore, Hackensack, NJ : World Scientific, c2008Description: 1 vol. (XV-590 p.) : ill. ; 26 cmISBN: 978-981-281920-8; 981-281920-7; 981-281921-5; 978-981-281921-5.Dewey: 332.64/57, 22 ; 332.632, 22Contents note: Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka Liquidity Premiums and the Expectations Hypothesis / R. Jarrow Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim Bibliography: Notes bibliogr..Subject - Topical Name: Instruments dérivés (finances) -- Prix Modèles mathématiques | Instruments dérivés (finances) -- Prix États-Unis| Item type | Home library | Collection | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|---|
| Prêt normal | BU Chevreul 2ème étage : Economie | Economie et gestion | 332.04 JAR (Browse shelf (Opens below)) | Available | 0378762481 |
Notes bibliogr.
Approximate Option Valuation for Arbitrary Stochastic Processes / R. Jarrow and A. Rudd Arbitrage, Continuous Trading, and Margin Requirements / D. Heath and R. Jarrow Ex-Dividend Stock Price Behavior and Arbitrage Opportunities / D. Heath and R. Jarrow The Stop-Loss Start-Gain Paradox and Option Valuation : A New Decomposition into Intrinsic and Time Value / P. Carr and R. Jarrow Alternative Characterizations of American Put Options / P. Carr, R. Jarrow and R. Myneni Market Manipulation, Bubbles, Corners, and Short Squeezes / R. Jarrow Derivative Security Markets, Market Manipulation, and Option Pricing Theory / R. Jarrow Liquidity Risk and Arbitrage Pricing Theory / U. Çetin, R. Jarrow and P. Protter Pricing Options in an Extended Black-Scholes Economy with Illiquidity : Theory and Empirical Evidence / U. Çetin, R. Jarrow, P. Protter and M. Warachka Liquidity Premiums and the Expectations Hypothesis / R. Jarrow Forward Contracts and Futures Contracts / R. Jarrow and G. Oldfield The Pricing of Commodity Options with Stochastic Interest Rates / R. Jarrow Bond Pricing and the Term Structure of Interest Rates : A New Methodology for Contingent Claims Valuation / D. Heath, R. Jarrow and A. Morton Pricing Foreign Currency Options Under Stochastic Interest Rates / K. Amin and R. Jarrow Pricing Options on Risky Assets in a Stochastic Interest Rate Economy / K. Amin and R. Jarrow Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model / R. Jarrow and Y. Yildirim Pricing Derivatives on Financial Securities Subject to Credit Risk / R. Jarrow and S. Turnbull A Markov Model for the Term Structure of Credit Risk Spreads / R. Jarrow, D. Lando and S. Turnbull Default Risk and Diversification : Theory and Empirical Implications / R. Jarrow, D. Lando and F. Yu Counterparty Risk and the Pricing of Defaultable Securities / R. Jarrow and F. Yu Bankruptcy Prediction with Industry Effects / S. Chava and R. Jarrow Market Pricing of Deposit Insurance / D. Duffie, R. Jarrow, A. Purnanandam and W. Yang Modeling Credit Risk with Partial Information / U. Çetin, R. Jarrow, P. Protter and Y. Yildirim
