A Factor Model Approach to Derivative Pricing
暫譯: 衍生品定價的因子模型方法

Primbs, James A.

A Factor Model Approach to Derivative Pricing
  • 出版商: CRC
  • 出版日期: 2016-12-08
  • 售價: $2,550
  • 貴賓價: 9.5 折 $2,423
  • 語言: 英文
  • 頁數: 292
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 1498763324
  • ISBN-13: 9781498763325

    • 海外代購書籍(需單獨結帳)

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商品描述

Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics.

Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book's ability to unify many disparate topics and models under a single conceptual theme.

商品描述(中文翻譯)

以高度易讀的風格撰寫的《A Factor Model Approach to Derivative Pricing》為衍生性金融商品的定價奠定了清晰且結構化的基礎，該基礎基於簡單的因子模型及其相關的無套利理念。這種獨特且統一的方法廣泛涵蓋了主題和模型，包括股票、利率和信用衍生品，以及對沖和基於樹的計算方法，但不依賴於通常伴隨這些主題的繁重前置知識。

無論是作為中級衍生品課程的教材，還是供研究人員和實務工作者尋求更好理解衍生品定價基本理念的參考，讀者都會欣賞本書能夠將許多不同的主題和模型統一在一個概念主題下的能力。

作者簡介

James A. Primbs holds undergraduate degrees in Mathematics and Electrical Engineering from UC Davis, an MS degree in Electrical Engineering from Stanford, and a PhD in Control and Dynamical System from Caltech. From 2001-2012 he served as an Assistant and then a Consulting Associate Professor in the Management Science and Engineering department at Stanford University. From 2012 to 2014 he was an Associate Professor in the Systems Engineering department at UT Dallas. He is currently an Associate Professor of Finance in the Mihaylo College of Business and Economics at California State University, Fullerton. He has won teaching awards at both the undergraduate and graduate level, given short courses to and consulted for the financial industry, and organized numerous conference tutorials and workshops, especially in the application of systems and control methods to finance. He is active in INFORMS where he has held various officer positions in the Section on Finance. His research interests involve the use of systems, optimization, and control theory in finance.

作者簡介(中文翻譯)

詹姆斯·A·普林布斯（James A. Primbs）擁有加州大學戴維斯分校（UC Davis）的數學和電機工程學士學位，斯坦福大學（Stanford）電機工程碩士學位，以及加州理工學院（Caltech）控制與動態系統博士學位。從2001年到2012年，他在斯坦福大學管理科學與工程系擔任助理教授，隨後擔任顧問副教授。2012年至2014年，他在德州大學達拉斯分校（UT Dallas）系統工程系擔任副教授。目前，他是加州州立大學富爾頓分校（California State University, Fullerton）米哈伊洛商學院（Mihaylo College of Business and Economics）的金融副教授。他在本科和研究生層級均獲得教學獎項，為金融業提供短期課程和諮詢，並組織了多場會議教程和工作坊，特別是在系統與控制方法應用於金融方面。他活躍於INFORMS，並在金融分會擔任過多個職位。他的研究興趣包括在金融領域中使用系統、優化和控制理論。

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