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Quantitative modeling of derivative securities : from theory to practice

Author: Marco Avellaneda; Peter Laurence
Publisher: Boca Raton, Fla. : Chapman & Hall/CRC, ©2000.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic book
Electronic books
Additional Physical Format: Print version:
(DLC) 99047242
(OCoLC)42389666
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Marco Avellaneda; Peter Laurence
ISBN: 9780203741504 0203741501
OCLC Number: 1016015178
Description: 1 online resource
Contents: Appendix B: Closed-Form Solutions for Double-Barrier Options --
B.l Exit Probabilities of a Brownian Trajectory from a Strip -B < Z < A --
Proposition B.1 --
Proposition B.2 --
B.2 Applications to Pricing Barrier Options --
a. Range Notes --
b. American Range Accrual Notes --
c. Double Knock-out Options --
Chapter 9. Ito Processes, Continuous-Time Martingales, and Girsanov 's Theorem --
9.1 Martingales and Doob-Meyer Decomposition --
9.2 Exponential Martingales --
Proposition 9.1 --
Remark 9.1 --
9.3 Girsanov's Theorem --
Proposition 9.2 --
References and Further Reading --
Appendix: Proof of Equation (9.11) --
Chapter 10. Continuous-Time Finance: An Introduction --
10.1 The Basic Model --
10.2 Trading Strategies --
10.3 Arbitrage Pricing Theo --
Proposition 10.1 --
Proposition 10.2 --
Proposition 10.3 --
References and Further Reading --
Chapter 11. Valuation of Derivative Securities --
11.1 The General Principle --
11.2 BlackScholes Model --
11.3 Dynamic Hedging and Dynamic Completeness --
Proposition 11.1 --
Proposition 11.2 --
11.4 Fokker-Planck Theory: Computing Expectations Using PDEs8 --
Proposition 11.3 --
Proposition 11.4 --
Proposition 11.5 --
References and Further Reading --
Appendix: Proof of Proposition 11.5 --
Chapter 12. Fixed-Income Securities and the Term-Structure of Interest Rates --
12.1 Bonds --
12.2 Duration --
12.3 Term Rates, Forward Rates, and Futures-Implied Rates --
12.4 Interest-Rate Swaps --
12.5 Caps and Floors --
12.6 Swaptions and Bond Options --
12.7 Instantaneous Forward Rates: Definition --
12.8 Building an Instantaneous Forward-Rate Curve --
References and Further Reading --
Chapter 13. The Heath- Jarrow-Morton Theorem and Multidimensional Term-Structure Models --
13.1 The Heath-Jarrow-Morton Theorem --
13.2 The Ho-Lee Model --
13.3 Mean Reversion: The Modified Vasicek or Hull-White Model. 13.4 Factor Analysis of the Term-Structure --
13.5 Example: Construction of a Two-Factor Model with Parametric Component --
13.6 More General Volatility Specifications in the H JM Equation --
References and Further Reading --
Chapter 14. Exponential-Afine Models --
14.1 A Characterization of EA Models --
Proposition 14.1 --
14.2 Gaussian State-Variables: General Formulas --
14.3 Gaussian Models: Explicit Formulas --
14.4 Square-Root Processes and the Non-Central Chi-Squared Distribution --
Proposition 14.2 --
Proposition 14.3 --
Corollary 14.1 --
Corollary 14.2 --
14.5 One-Factor Square-Root Model: Discount Factors and Forward Rates --
References and Further Reading --
Appendix A: Behavior of Square-Root Processes for Large Times --
Appendix B: Characterization of the Probability Density Function of Square-Root Processes --
Appendix C: The Square-Root Diffusion with V = 1 --
Chapter 15. Interest- Rate Options --
15.1 Forward Measures --
Definition and Examples --
Proposition 15.1 --
15.2 Commodity Options with Stochastic Interest Rate --
15.3 Options on Zero-Coupon Bonds --
15.4 Money-Market Deposits with Yield Protection --
Forward Rates and Forward Measures --
Proposition 15.2 --
Proposition 15.3 --
Proposition 15.4 --
15.5 Pricing Caps --
General Considerations --
Cap Pricing with Gaussian Models --
Cap Pricing with Square-Root Models12 --
Proposition 15.5 --
Proposition 15.6 --
Cap Pricing and Implied Volatilities --
15.6 Bond Options and Swaptions --
General Pricing Relations --
Jamshidian's Theorem --
Proposition 15.7 --
Volatility Analysis --
15.7 Epilogue: The Brace-Gatarek-Musiela model --
Proposition 15.8 --
References and Further Reading --
Index.
Responsibility: Marco Avellaneda in collaboration with Peter Laurence.

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