Patrick S. Hagan (Gorilla Science), Andrew Lesniewski (City University of Ne Bernard M. Baruch College

Broschiertes Buch

Girsanov, Numeraires, and All That

Beschreibung

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.

Produktdetails

• Elements in Quantitative Finance
• Verlag: Cambridge University Press
• Seitenzahl: 75
• Erscheinungstermin: 17. November 2022
• Englisch
• Abmessung: 229mm x 152mm x 3mm
• Gewicht: 96g
• ISBN-13: 9781009339285
• ISBN-10: 1009339281
• Artikelnr.: 65505709