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Risk Management: Applications To The Pricing Of Assets And Derivatives In Complete Markets

In: Derivatives, Risk Management & Value

Author

Listed:
  • Mondher Bellalah

    (Université de Cergy-Pontoise, France)

Abstract

The following sections are included:Chapter OutlineIntroductionCharacterization of Complete MarketsPricing Derivative Assets: The Case of Stock OptionsThe problemThe PDE methodThe martingale methodPricing Derivative Assets: The Case of Bond Options and Interest Rate OptionsArbitrage-free family of bond pricesTime-homogeneous modelsTime-inhomogeneous modelsAsset Pricing in Complete Markets: Changing Numeraire and TimeAssumptions and the valuation contextValuation of derivatives in a standard Black–Scholes–Merton economyChanging numeraire and time: The martingale approach and the PDE approachValuation in an Extended Black and Scholes Economy in the Presence of Information CostsSummaryQuestionsAppendix A: The Change in Probability and the Girsanov TheoremAppendix B: Resolution of the Partial Differential Equation for a European Call Option on a Non-Dividend Paying Stock in the Standard ContextAppendix C: Approximation of the Cumulative Normal DistributionAppendix D: Leibniz's Rule for Integral DifferentiationAppendix E: Pricing Bonds: Mathematical FoundationsExpectations HypothesesExercisesSolutionReferences

Suggested Citation

  • Mondher Bellalah, 2009. "Risk Management: Applications To The Pricing Of Assets And Derivatives In Complete Markets," World Scientific Book Chapters, in: Derivatives, Risk Management & Value, chapter 12, pages 535-581, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812838636_0012
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