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 o…
Read More ↓Title Statements
- Full title :Financial derivatives modeling / Christian Ekstrand.
Summary
"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."--Publisher's website.
Read More ↓Edition Statements
- Publication Date:©2011.
Publication Statements
- Publisher(s):Springer
- Place of Publication:Heidelberg
- Language:eng
- Publication Date:©2011.
The Physical Object
- Description:xi, 319 pages ; : 24 cm.
Edition Identifiers
- ISBN:9783642221545, 3642221548, 9783642221552, 3642221556
- DOI:10.1007/978-3-642-22155-2
- oclc:ocn744297331
- LC Classification:HG6024.A3
- Dewey Decimal:332.64/57011
Table of Contents
Derivatives pricing basics. Pricing by replication -- Static replication -- Dynamic replication -- Derivatives modeling in practice -- Skew and smile techniques. Continuous stochastic process -- 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.
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