Financial Derivatives Modeling
(Sprache: Englisch)
Covering all major asset classes from equities to foreign exhange, this comprehensive introduction to the modeling of financial derivatives takes readers from Black and Scholes' lognormal modeling to today's research on 'skew' and 'smile' models.
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Covering all major asset classes from equities to foreign exhange, this comprehensive introduction to the modeling of financial derivatives takes readers from Black and Scholes' lognormal modeling to today's research on 'skew' and 'smile' models.
Klappentext zu „Financial Derivatives Modeling “
The book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.
Inhaltsverzeichnis zu „Financial Derivatives Modeling “
Derivatives Pricing Basics: Pricing by Replication.- Static Replication.- Dynamic Replication.- Derivatives Modeling in Practice.- Skew and Smile Techniques: Continuous Stochastic Processes.- Local Volatility Models.- Stochastic Volatility Models.- Lévy Models.- Exotic Derivatives: Path-Dependent Derivatives.- High-Dimensional Derivatives.- Asset Class Specific Modeling: - Equities.- Commodities.- Interest Rates.- Foreign Exchange.- Mathematical Preliminaries.
Bibliographische Angaben
- Autor: Christian Ekstrand
- 2011, XI, 319 Seiten, Masse: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3642221548
- ISBN-13: 9783642221545
- Erscheinungsdatum: 26.08.2011
Sprache:
Englisch
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