Titlebook: Asset Pricing; -Discrete Time Appro Takeaki Kariya,Regina Y. Liu Book 2003 Springer Science+Business Media New York 2003 Arbitrage.Asset Pr

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Lecture Notes in Computer Science probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical applications, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also se

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Lecture Notes in Computer Sciencets for constructing various financial positions to hedge against or control financial risks. Here risk is a possibility of loss and hence can be a change in the prices of assets such as currency, stocks, or bonds that gives a loss. For different purposes, different kinds of derivatives can be constr

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Formal Aspects of Component Softwaretic processes in the next chapter. In particular, we focus on multivariate normal distributions and conditional expectations, since most models for financial asset prices used in derivative pricing are conditionally heteroscedastic normal models. Familiarity with these two subjects is required for t

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Zhiming Liu,Jiadong Teng,Bo Liu .-normal process, then the theoretical value at time . of a European call with maturity . = . can be obtained from the Black-Scholes (.) formula as follows; . The corresponding value of a European put in (1.2) is given via the Put-Call Parity in Chapter 2. Since these formulas do not depend explici

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https://doi.org/10.1007/978-3-319-15317-9issuer. This includes the risk of the issuer declaring bankruptcy, deferring payment of coupons, or being downgraded in its credit quality rating. Since there are no unique ways to define or observe the credit quality, we often rely on the quality rating provided by well-known rating institutions su

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