Financial derivatives modeling

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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…

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Title Statements

Full title :Financial derivatives modeling / Christian Ekstrand.

Summary

Edition Statements

Publication Date:©2011.

Publication Statements

Publisher(s):Springer
Place of Publication:Berlin
Language:eng
Publication Date:©2011.

The Physical Object

Description:1 online resource (xi, 319 pages)

Edition Identifiers

ISBN:9783642221552, 3642221556, 9783642221545, 3642221548
DOI:10.1007/978-3-642-22155-2
oclc:ocn755068847
LC Classification:HG6024.A3
Dewey Decimal:332.63/2

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.