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…
Read More ↓Title Statements
- Full title :Financial Derivatives Modeling / by 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.
Read More ↓Edition Statements
- Publication Date:2011.
Publication Statements
- Publisher(s):Springer-Verlag Berlin Heidelberg
- Place of Publication:Berlin, Heidelberg
- Language:eng
- Publication Date:2011.
Notes
Libros electrónicos descargables.
The Physical Object
- Description:1 online resource
Edition Identifiers
- ISBN:9783642221545, 3642221548, 9783642221552, 3642221556
- oclc:ocn929302981
- Dewey Decimal:332
Table of Contents
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.
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