Ekstrand Financial Derivatives Modeling
1. Auflage 2011
ISBN: 978-3-642-22155-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 319 Seiten, eBook
ISBN: 978-3-642-22155-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Graduate
Autoren/Hrsg.
Weitere Infos & Material
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.
