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Financial Derivatives Modeling

Autor Christian Ekstrand
en Limba Engleză Paperback – 7 oct 2014
This 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.
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Specificații

ISBN-13: 9783642444364
ISBN-10: 3642444369
Pagini: 332
Ilustrații: XI, 319 p.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.47 kg
Ediția:2011
Editura: Springer Berlin, Heidelberg
Colecția Springer
Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Graduate

Cuprins

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.

Textul de pe ultima copertă

This 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.

Caracteristici

Comprehensive introduction to financial derivatives modeling for graduate students and professionals Applies derivatives pricing methods to all major asset classes Contains an extensive list of stochastic differential equations with solution methods Includes a detailed description of the challenges associated with the calibration of, and risk management with, derivatives pricing models Includes supplementary material: sn.pub/extras