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

penance

certitude

Lecture Notes in Computer Scienceer is a type of prepayment risk for a bank. For example, a CD with a 10 year maturity can now be closed at any time before the maturity date, but in return it receives only a penalized interest rate. In this chapter, we discuss how to use a no-arbitrage pricing argument to determine a theoretical value for the penalized interest rate.

indigenous

Valuation of Certificate of Deposit (CD) With Transfer Option,er is a type of prepayment risk for a bank. For example, a CD with a 10 year maturity can now be closed at any time before the maturity date, but in return it receives only a penalized interest rate. In this chapter, we discuss how to use a no-arbitrage pricing argument to determine a theoretical value for the penalized interest rate.

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Introduction,rve well as a textbook on financial asset pricing. It should be accessible to a broad audience, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science.

forager

Currency Options,and export companies to hedge their risk in foreign exchange exposures. For example, if a company needs to pay a certain amount in a particular foreign currency at a given time in future to settle a trade, it can buy a call option on the currency maturing at that given time to hedge against its appreciation.

harmony

Pricing Defaultable Bonds,ch as Moody’s, Standard & Poors, etc. In bond market, bond price changes whenever there is a rating change. Therefore, in bond pricing it is required to take into account the credit risk of the issuer.

harmony

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Zhiming Liu,Jiadong Teng,Bo Liuollows; . 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 explicitly on ., . and ., they are also valid in the case of continuous time.

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