Ambrose Lo

Derivative Pricing

A Problem-Based Primer

• Broschiertes Buch

Produktbeschreibung

This textbook adopts a mathematically rigorous, widely accessible pedagogical approach, providing a formal treatment of derivative pricing methodologies and theory. The abundance of examples and problems makes it suitable for advanced undergraduates, beginning graduates as well as professionals.

Produktdetails

• Verlag: CRC Press
• Seitenzahl: 450
• Erscheinungstermin: 18. Dezember 2020
• Englisch
• Abmessung: 254mm x 178mm x 23mm
• Gewicht: 776g
• ISBN-13: 9780367734213
• ISBN-10: 0367734214
• Artikelnr.: 62939473

Autorenporträt

Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in top-tier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.

Inhaltsangabe

1. An Introduction to Forwards and Options 2. Forwards and Futures 3.
Option Strategies 4. Binomial Option Pricing Models 5. Mathematical
Foundations of the BS Framework 6. The Black-Scholes Formula 7. Option
Greeks and Risk Management 8. Exotic Options 9. General Properties of
Option Prices