Cantitate/Preț
Produs

Girsanov, Numeraires, and All That: Elements in Quantitative Finance

Autor Patrick S. Hagan, Andew Lesniewski
en Limba Engleză Paperback – 16 noi 2022
In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.
Citește tot Restrânge

Din seria Elements in Quantitative Finance

Preț: 10764 lei

Nou

Puncte Express: 161

Preț estimativ în valută:
2062 2124$ 1727£

Carte disponibilă

Livrare economică 04-18 februarie
Livrare express 18-24 ianuarie pentru 1314 lei

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781009339285
ISBN-10: 1009339281
Pagini: 75
Dimensiuni: 152 x 229 x 3 mm
Greutate: 0.08 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Elements in Quantitative Finance

Locul publicării:Cambridge, United Kingdom

Cuprins

1. Introduction; 2. Girsanov's theorem; 3. Arbitrage asset pricing in a nutshell; 4. Riskless bond numeraires and associated EMMs; 5. Change of numeraire in interest rate and FX models; 6. Incomplete markets.

Descriere

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing.