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 “
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.
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
- 2014, 2011, XI, 319 Seiten, Maße: 15,6 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3642444369
- ISBN-13: 9783642444364
Sprache:
Englisch
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