Christian Ekstrand

Financial Derivatives Modeling

• Gebundenes Buch

Produktbeschreibung

The 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.

Produktdetails

• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 80073111, 978-3-642-22154-5
• 2011
• Seitenzahl: 332
• Erscheinungstermin: 26. August 2011
• Englisch
• Abmessung: 241mm x 160mm x 23mm
• Gewicht: 632g
• ISBN-13: 9783642221545
• ISBN-10: 3642221548
• Artikelnr.: 33507646

Inhaltsangabe

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.