Financial Derivatives Modeling

Name: Financial Derivatives Modeling
Author: Christian Ekstrand

Gebonden Engels 2011 2011e druk 9783642221545

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Samenvatting

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.

Specificaties

ISBN13:9783642221545

Taal:Engels

Bindwijze:gebonden

Aantal pagina's:319

Uitgever:Springer Berlin Heidelberg

Druk:2011

Hoofdrubriek:Financieel management, Financieel management

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Inhoudsopgave

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.