Asset Pricing : -Discrete Time Approach-

Online-Ressource (VIII, 275 p)

online resource

1. Introduction1 Main Goals -- 2 The Importance of The No-Arbitrage Theory -- 3 The Discrete Time Approach and Some Key Features of This Book -- 4 Comparisons with Other Textbooks -- 5 A Brief Summary of the Contents -- 2. Options, Futures and Other Derivatives -- 1 Overview -- 2 No-Arbitrage and Put-Call Parity -- 3 Exotic Options -- 4 Forward Contracts and Futures -- 3. Basic Probability Theory -- 1 Overview -- 2 Conditional Distributions and Conditional Expectations -- 3 Multivariate Normal Distribution and Normal Mixture Distribution -- 4 Nonlinear Time Series Model -- 4. Pricing Models for Financial Assets -- 1 Overview -- 2 Stochastic Processes and Brownian Motion -- 3 Martingale and Product Process -- 4 log-DD Process and Change of Probability Measures -- 5. General No-Arbitrage Asset Price Theory -- 1 Overview -- 2 Basic Framework of No-Arbitrage Price Theory -- 3 Condition for No-Arbitrage -- 4 Price Theory for Derivatives and the Black-Scholes Formula -- 5 No-Arbitrage Binomial Process and Replicability of an Option -- 6 Martingale Condition for log-DD Process -- 6. Model Specifications in Applications -- 1 Overview -- 2 Self-Consistency Tests for Models -- 3 Multi-Factor Model - Identifiability and Estimation -- 4 Model under Original Measure Q vs Risk Neutral Model under Equivalent Measure Q* -- 7. Valuation of Derivatives Via Monte Carlo Methods -- 1 Overview -- 2 Monte Carlo Method -- 3 Variance Reduction Methods -- 4 General Theory for CV Methods -- 8. Stock Option Theory and Its Applications -- 1 Overview -- 2 General Price Theory for a Stock Option -- 3 Black-Scholes (BS) Formula -- 4 BS Option Portfolios -- 5 Valuation of Exotic Options -- 6 GARCH Model and Stochastic Volatility Model -- 7 Valuation of an American Put -- 9. Currency Options -- 1 Overview -- 2 Pricing Currency Options -- 3 Currency Options Containing Stocks -- 4 A Condition for No-Arbitrage -- 10. The Term Structure of Spot Rates -- 1 Overview -- 2 Spot Rate and No-Arbitrage Price of a Discount Bond -- 3 One Factor Term Structure Model for Spot Rates -- 4 Empirical Viewpoint on CIR Type Model -- 5 Interest Swaps -- 11. The HJM Model for Bonds and Its Applications -- 1 Overview -- 2 Forward Rates -- 3 The K-Factor HJM Model for Discount Bond Price -- 4 Specification Problems of HJM Model -- 5 Specification of Volatility Functions -- 6 Empirical Analyses of Interest Futures -- 12. Pricing Defaultable Bonds -- 1 Overview -- 2 Recovery Rate and Default Probability -- 3 Valuation of Corporate Discount Bond -- 4 Pricing a Coupon Bond -- 13. Valuation of CD with Transfer Option -- 1 Overview -- 2 Valuation of a CD with Transfer Option -- 3 Valuation of the Transfer Option -- 4 Valuation of the Closing Option -- 5 Ex Post Multiplier and Risk of the Bank -- 14. Pricing Mortgage-Backed Securities -- 1 Overview -- 2 Cashflow Function of an MBS -- 3 Valuation Formula for an MBS -- 4 Interest Incentive Function -- 5Monte Carlo (MC) Valuation of an MBS -- 6 Estimation Procedure -- References.

10.1007/978-1-4419-9230-7 [DOI]

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