Buch, Englisch, 530 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 820 g
Reihe: Springer Finance
Buch, Englisch, 530 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 820 g
Reihe: Springer Finance
ISBN: 978-3-642-44793-8
Verlag: Springer
This book contains a comprehensive account of pricing models of financial derivatives, including exotic equity options, interest rate products and credit derivatives. It presents a self-contained treatment of risk neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation method. This text is targeted for students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. Research results and concepts are made accessible to the reader through extensive set of exercises.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Wirtschaftswissenschaften Volkswirtschaftslehre Öffentliche Finanzwirtschaft, Besteuerung
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
Weitere Infos & Material
to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.
